quantlib.models.equity.bates_model

Bates stochastic-volatility model

extended versions of the Heston Model for the stochastic volatility of an asset including jumps.

References

[1]

A. Sepp, “Pricing European-Style Options under Jump Diffusion Processes with Stochastic Volatility: Applications of Fourier Transform” (https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1412333)

Classes

BatesDetJumpModel(BatesProcess process[, ...])

BatesDoubleExpDetJumpModel(HestonProcess process)

BatesDoubleExpModel(HestonProcess process[, ...])

BatesModel(BatesProcess process)