Analytic engine for arbitrary European payoffs under 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
test the correctness of the returned value is tested by
reproducing digital prices using call spreads and the
AnalyticHestonEngine.
Analytic engine for arbitrary European payoffs under 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
test the correctness of the returned value is tested by reproducing digital prices using call spreads and the AnalyticHestonEngine.