| Library: | finance |
| See also: | HestonVanilla |
| Quantlet: | HestonVanillaInt | |
| Description: | auxiliary quantlet used by HestonVanilla. |
| Usage: | F = HestonVanillaInt(phi,j,s,k,v0,vv,rd,rf,tau,kappa,theta,lambda,rho) | |
| Input: | ||
| phi | point of evaluation | |
| j | j=1 or j=2 | |
| s | Spot price of the option | |
| k | Strike price of the option | |
| v0 | initial variance | |
| vv | volatility of volatility | |
| rd | domestic interest rate | |
| rf | foreign interest rate | |
| tau | maturity in years | |
| kappa | mean reversion | |
| theta | long run variance | |
| lambda | market price of volatility | |
| rho | correlation | |
| Output: | ||
| F | value of integrated function in point phi | |