Bates stochastic process, Heston process plus compound Poisson process plus log-normal jump diffusion size. More...
#include <ql/processes/hestonprocess.hpp>#include <ql/math/distributions/normaldistribution.hpp>
Classes | |
| class | BatesProcess |
| Square-root stochastic-volatility Bates process. More... | |
Bates stochastic process, Heston process plus compound Poisson process plus log-normal jump diffusion size.