IntegralHestonVarianceOptionEngine Class Reference

integral Heston-model variance-option engine More...

#include <ql/experimental/varianceoption/integralhestonvarianceoptionengine.hpp>

Inheritance diagram for IntegralHestonVarianceOptionEngine:

Public Member Functions

 IntegralHestonVarianceOptionEngine (const boost::shared_ptr< HestonProcess > &)
 
void calculate () const
 

Additional Inherited Members

- Protected Attributes inherited from GenericEngine< VarianceOption::arguments, VarianceOption::results >
VarianceOption::arguments arguments_
 
VarianceOption::results results_
 

Detailed Description

integral Heston-model variance-option engine

This engine implements the approach described in http://www.econ.univpm.it/recchioni/finance/w4/.