IntegralHestonVarianceOptionEngine Class Reference
[Forward option engines]
integral Heston-model variance-option engine
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#include <ql/experimental/varianceoption/integralhestonvarianceoptionengine.hpp>
Inheritance diagram for IntegralHestonVarianceOptionEngine:

Public Member Functions | |
IntegralHestonVarianceOptionEngine (const boost::shared_ptr< HestonProcess > &) | |
void | calculate () const |
Detailed Description
integral Heston-model variance-option engineThis engine implements the approach described in <http://www.econ.univpm.it/recchioni/finance/w4/>.