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)
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