#include <ql/pricingengines/vanilla/hestonexpansionengine.hpp>
Public Member Functions | |
FordeHestonExpansion (const Real kappa, const Real theta, const Real sigma, const Real v0, const Real rho, const Real term) | |
virtual Real | impliedVolatility (const Real strike, const 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