analytic piecewise constant time dependent Heston-model engine
References:
Heston, Steven L., 1993. A Closed-Form Solution for Options
with Stochastic Volatility with Applications to Bond and
Currency Options. The review of Financial Studies, Volume 6,
Issue 2, 327-343.
J. Gatheral, The Volatility Surface: A Practitioner's Guide,
Wiley Finance
A. Elices, Models with time-dependent parameters using
transform methods: application to Heston’s model,
http://arxiv.org/pdf/0708.2020
analytic piecewise constant time dependent Heston-model engine
References:
Heston, Steven L., 1993. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. The review of Financial Studies, Volume 6, Issue 2, 327-343.
J. Gatheral, The Volatility Surface: A Practitioner's Guide, Wiley Finance
A. Elices, Models with time-dependent parameters using transform methods: application to Heston’s model, http://arxiv.org/pdf/0708.2020