ql/processes/batesprocess.hpp File Reference

Bates stochastic process, Heston process plus compound Poisson process plus log-normal jump diffusion size. More...

#include <ql/processes/hestonprocess.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
Include dependency graph for batesprocess.hpp:

Classes

class  BatesProcess
 Square-root stochastic-volatility Bates process. More...

Detailed Description

Bates stochastic process, Heston process plus compound Poisson process plus log-normal jump diffusion size.