Posted by
Klaus Spanderen-2 on
Aug 20, 2008; 8:02am
URL: http://quantlib.414.s1.nabble.com/AnaliticHestonEngine-SV-or-SVJ-tp6640p6641.html
Hi
The AnalyticHestonEngine implements the "simple" Heston SV model. The
AnalyticBatesEngine implements the Heston SV model plus jumps as outlined
in the A. Sepp paper. Examples can be found in test-sutie/batesmodel.cpp.
regards
----- original message --------
Subject: [Quantlib-users] AnaliticHestonEngine -- SV or SVJ
Sent: Tue, 19 Aug 2008
From: nabbleuser2008<
[hidden email]>
>
> 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
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>
>
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