XploRe Help : pdfHestonInt

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library:	finance
See also:	pdfHeston

Quantlet:		pdfHestonInt
Description:		auxiliary quantlet used by pdfHeston.

Reference(s):

[1] A.A. Dragulescu, V.M. Yakovenko (2002) Probability distribution of returns in the Heston model with stochastic volatility, Quantitative Finance 2: 443-453. [2] R. Weron, U. Wystup (2005) Heston's model and the smile, in "Statistical Tools for Finance and Insurance", eds. P. Cizek, W. Härdle, R. Weron, Springer.

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

Author: R. Weron, 20040730 license MD*Tech