Risk neutral terminal probability density for the Heston model. More...
#include <ql/methods/finitedifferences/utilities/hestonrndcalculator.hpp>
Inherits RiskNeutralDensityCalculator.
Public Member Functions | |
HestonRNDCalculator (const ext::shared_ptr< HestonProcess > &hestonProcess, Real integrationEps=1e-6, Size maxIntegrationIterations=10000UL) | |
Real | pdf (Real x, Time t) const |
Real | cdf (Real x, Time t) const |
Real | invcdf (Real q, Time t) const |
Risk neutral terminal probability density for the Heston model.
References:
The formulas are taken from A. Dragulescu, V. Yakovenko, 2002. Probability distribution of returns in the Heston model with stochastic volatility. http://arxiv.org/pdf/cond-mat/0203046.pdf