http://quantlib.414.s1.nabble.com/AnaliticHestonEngine-SV-or-SVJ-tp6640p6643.html
equity underlying. E. g. Gatheral is discussing the Bates model with
log-normal jump diffusion process at page 65 ff. IMO Bates is used more often
> 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<
[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
> >> --
> >> View this message in context:
> >>
http://www.nabble.com/AnaliticHestonEngine----SV-or-SVJ-tp19056242p19056> >>242. html
> >> Sent from the quantlib-users mailing list archive at Nabble.com.
> >>
> >>
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