Options
All
  • Public
  • Public/Protected
  • All
Menu

Lorig Pagliarani Pascucci expansion of order-2 for the Heston model. During calibration, it can be initialized once per expiry, and called many times with different strikes. The formula is also available in the Mathematica notebook from the authors at http://explicitsolutions.wordpress.com/

Hierarchy

Index

Constructors

Properties

Methods

Constructors

constructor

Properties

Private coeffs

coeffs: Real[] = new Array(3)

Private e2kt

e2kt: Real

Private e3kt

e3kt: Real

e4kt

e4kt: Real

Private ekt

ekt: Real

Methods

impliedVolatility

Private z0

  • Parameters

    Returns Real

Private z1

  • Parameters

    Returns Real

Private z2

  • Parameters

    Returns Real