hestonmodel.hpp File Reference

Heston model for the stochastic volatility of an asset. More...

#include <ql/models/model.hpp>
#include <ql/processes/hestonprocess.hpp>

Go to the source code of this file.

Classes
class	HestonModel
	Heston model for the stochastic volatility of an asset. More...
class	HestonModel::FellerConstraint
class	HestonModel::FellerConstraint::Impl

Namespaces
namespace	QuantLib

Detailed Description

Heston model for the stochastic volatility of an asset.

analytic pricing engine for a heston option based on fourier transformation

Definition in file hestonmodel.hpp.