Re: AnaliticHestonEngine -- SV or SVJ

Posted by nabbleuser2008 on Aug 20, 2008; 2:24pm
URL: http://quantlib.414.s1.nabble.com/AnaliticHestonEngine-SV-or-SVJ-tp6640p6642.html

Hi Klaus,
 Thank you very much for your reply. I'm just looking at the bates model, and trying to understand how much it is different from Heston-Nandi model discussed in Gatheral's book. In case they are different, was there  a reason to use Bates model, (vs Heston-Nandi) in QL ?

  Thanks again. Really appreciate your insights.

C

Klaus Spanderen-2 wrote

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<[e-mail]>

>
> 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
> --
> View this message in context:
> http://www.nabble.com/AnaliticHestonEngine----SV-or-SVJ-tp19056242p19056242.
> html
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
>
> -------------------------------------------------------------------------
> This SF.Net email is sponsored by the Moblin Your Move Developer's
> challenge
> Build the coolest Linux based applications with Moblin SDK & win great
> prizes
> Grand prize is a trip for two to an Open Source event anywhere in the world
> http://moblin-contest.org/redirect.php?banner_id=100&url=/
> _______________________________________________
> QuantLib-users mailing list
> [e-mail]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

--- original message end ----


-------------------------------------------------------------------------
This SF.Net email is sponsored by the Moblin Your Move Developer's challenge
Build the coolest Linux based applications with Moblin SDK & win great prizes
Grand prize is a trip for two to an Open Source event anywhere in the world
http://moblin-contest.org/redirect.php?banner_id=100&url=/
_______________________________________________
QuantLib-users mailing list
[e-mail]
https://lists.sourceforge.net/lists/listinfo/quantlib-users