quantlib.models.equity.heston_model.

HestonModel

class HestonModel(HestonProcess process)

Bases: object

Heston model for the stochastic volatility of an asset

Attributes:

kappa

variance mean reversion speed

process

:class:`~quantlib.processes.heston_process.HestonProcess: unnderlying process

rho

correlation

sigma

volatility of the volatility

theta

variance mean reversion level

v0

spot variance

Methods

calibrate(self, list helpers, ...)

References

Heston, Steven L., 1993. “A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options.” The review of Financial Studies, Volume 6, Issue 2, 327-343.