integral Heston-model variance-option engine More...
#include <ql/experimental/varianceoption/integralhestonvarianceoptionengine.hpp>
Public Member Functions | |
IntegralHestonVarianceOptionEngine (const boost::shared_ptr< HestonProcess > &) | |
void | calculate () const |
Additional Inherited Members | |
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VarianceOption::arguments | arguments_ |
VarianceOption::results | results_ |
integral Heston-model variance-option engine
This engine implements the approach described in http://www.econ.univpm.it/recchioni/finance/w4/.