Library: | finance |
See also: | pdfHeston |
Quantlet: | pdfHestonInt | |
Description: | auxiliary quantlet used by pdfHeston. |
Usage: | y = pdfHestonInt(x,theta,kappa,sigma,rho,t) | |
Input: | ||
x | scalar, input value | |
theta | scalar, long-run variance | |
kappa | scalar, level of mean reversion | |
sigma | scalar, volatility of variance (vol of vol) | |
rho | scalar, correlation | |
t | scalar, time lag | |
Output: | ||
y | scalar, value of the integral |