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/.