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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

Hierarchy

Index

Constructors

constructor

  • Parameters

    • hestonProcess: HestonProcess
    • Default value integrationEps: Real = 0.000001
    • Default value maxIntegrationIterations: Size = 10000

    Returns HestonRNDCalculator

Properties

Private _hestonProcess

_hestonProcess: HestonProcess

Private _integrationEps

_integrationEps: Real

Private _maxIntegrationIterations

_maxIntegrationIterations: Size

Private _x0

_x0: Real

Methods

cdf

invcdf

pdf

Private x_t

  • Parameters

    Returns Real