IntegralHestonVarianceOptionEngine (3) - Linux Manuals

IntegralHestonVarianceOptionEngine: integral Heston-model variance-option engine

NAME

QuantLib::IntegralHestonVarianceOptionEngine - integral Heston-model variance-option engine

SYNOPSIS

#include <ql/experimental/varianceoption/integralhestonvarianceoptionengine.hpp>

Inherits QuantLib::VarianceOption::engine.

Public Member Functions

IntegralHestonVarianceOptionEngine (const boost::shared_ptr< HestonProcess > &)

void calculate () const

Detailed Description

integral Heston-model variance-option engine

This engine implements the approach described in <http://www.econ.univpm.it/recchioni/finance/w4/>.

Author

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