Re: QuantLib-users Digest, Vol 85, Issue 5

Posted by Klaus Spanderen-2 on Jun 16, 2013; 4:12pm
URL: http://quantlib.414.s1.nabble.com/Re-QuantLib-users-Digest-Vol-85-Issue-5-tp14378p14379.html

Hi

 

the implementation is mainly based on

 

A. Elices, Models with time-dependent parameters using

transform methods: application to Heston’s model,

http://arxiv.org/pdf/0708.2020

 

which outlines an exact method for timedependent but piecewise constant model parameters.

 

On Sunday, June 16, 2013 10:51:06 AM Theo Boafo wrote:

Hi Klaus,

Is the piecewisetimedependenthestonmodel.hpp based on time dependent heston model by Eric Benhamou?

Regards

Theo

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