Re: Bates process

Posted by Luigi Ballabio on Feb 22, 2008; 11:29am
URL: http://quantlib.414.s1.nabble.com/Bates-process-tp5618p5622.html


On Feb 22, 2008, at 10:50 AM, Yomi wrote:
> I am wondering why there is no Bates process derived from Heston
> process?
> Does it make sense to refactor it in order to have a Bates process?

Yes, probably.  Klaus, are you reading this? What do you think?

Luigi


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