47 const ext::shared_ptr<BatesProcess> & process,
60 const ext::shared_ptr<HestonProcess> & process,
74 const ext::shared_ptr<HestonProcess> & process,
extended versions of the Heston model
BatesDetJumpModel(const ext::shared_ptr< BatesProcess > &process, Real kappaLambda=1.0, Real thetaLambda=0.1)
BatesDoubleExpDetJumpModel(const ext::shared_ptr< HestonProcess > &process, Real lambda=0.1, Real nuUp=0.1, Real nuDown=0.1, Real p=0.5, Real kappaLambda=1.0, Real thetaLambda=0.1)
BatesDoubleExpModel(const ext::shared_ptr< HestonProcess > &process, Real lambda=0.1, Real nuUp=0.1, Real nuDown=0.1, Real p=0.5)
Bates stochastic-volatility model.
BatesModel(const ext::shared_ptr< BatesProcess > &process)
void generateArguments() override
Square-root stochastic-volatility Bates process.
Constraint imposing all arguments to be in [low,high]
std::vector< Parameter > arguments_
Standard constant parameter .
Heston model for the stochastic volatility of an asset.
ext::shared_ptr< HestonProcess > process_
ext::shared_ptr< HestonProcess > process() const
Constraint imposing positivity to all arguments