quantlib.models.equity.heston_model.
HestonModel¶
- class HestonModel(HestonProcess process)¶
Bases:
object
Heston model for the stochastic volatility of an asset
- Attributes:
Methods
calibrate
(self, list helpers, ...)process
(self)underlying process
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.