AnaliticHestonEngine -- SV or SVJ

Posted by nabbleuser2008 on Aug 19, 2008; 6:42pm
URL: http://quantlib.414.s1.nabble.com/AnaliticHestonEngine-SV-or-SVJ-tp6640.html

Hi,

 I noticed that the following paper is listed as a reference in the analytichestonengine.cpp file. I also noticed that the same paper is mentioned in the test-suite/hestonmodel.cpp file under testDAXCalibration method.

A. Sepp, Pricing European-Style Options under Jump Diffusion Processes with Stochastic Volatility: Applications of Fourier Transform (<http://math.ut.ee/~spartak/papers/stochjumpvols.pdf>)

  I had previously thought that the analytichestonengine.cpp implements heston Stochastic Volatility (SV)  model without jumps, but having seen the above reference, I'd like to double check if SV with Jumps is available in QuantLib. Also, secondarily, I'd like to clarify which model, ie,  SV  with Jumps or SV (without jumps) used in the testDAXCalibration ?

 Thank you very much.

C