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 |