Stochastic Volatility

Posted by animesh on
URL: http://quantlib.414.s1.nabble.com/Stochastic-Volatility-tp12534.html


No FD method solution in the case of a generic partial differential
equation like (Stochastic Vol Model)

for {d sigma = p dt + q dX}, p = (a – b sigma2)

Do read the pdf for bit more understanding. It's just a single page!

I am not sure if this is implemented in quantlib, or maybe I don't know
how to use it.

Thanks for ur time

Animesh Saxena

Associate

(Exotic Derivatives)

Blog -> http://quantanalysis.wordpress.com



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