#include <ql/pricingengines/vanilla/hestonexpansionengine.hpp>
Public Member Functions | |
FordeHestonExpansion (Real kappa, Real theta, Real sigma, Real v0, Real rho, Real term) | |
virtual Real | impliedVolatility (Real strike, Real forward) const |
Small-time expansion from "The small-time smile and term structure of implied volatility under the Heston model" M Forde, A Jacquier, R Lee - SIAM Journal on Financial Mathematics, 2012 - SIAM