| Usage: |
P = HestonVanilla(cp,s,k,v0,vv,rd,rf,tau,kappa,theta,lambda,rho{,phi})
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| Input: |
| cp | scalar, cp=1 call option, cp=-1 put option
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| s | scalar, Spot price of option
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| k | scalar, Strike price of option
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| v0 | scalar, initial variance
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| vv | scalar, volatility of volatility
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| rd | scalar, domestic interest rate
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| rf | scalar, foreign interest rate
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| tau | scalar, maturity in years
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| kappa | scalar, mean reversion
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| theta | scalar, long run variance
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| lambda | scalar, market price of volatility
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| rho | scalar, correlation
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| phi | scalar, optional, Gauss-Legendre quadrature, default phi=GauLeg(0,100,100,1e-14)
|
| Output: |
| P | scalar, price of option |