org.drip.sample.stochasticvolatility

Class AlbrecherMayerSchoutensTistaert

java.lang.Object

org.drip.sample.stochasticvolatility.AlbrecherMayerSchoutensTistaert

public class AlbrecherMayerSchoutensTistaert
extends java.lang.Object

AlbrecherMayerSchoutensTistaert displays the Heston (1993) Price/Vol Surface across the Range of Strikes and Maturities, demonstrating the smiles and the skews. It also runs a Robustness Comparison Run using the Methodology of Albrecher, Mayer, Schoutens, and Tistaert (2007).

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
AlbrecherMayerSchoutensTistaert()

Method Summary

Modifier and Type	Method and Description
static void	main(java.lang.String[] astrArgs)

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

AlbrecherMayerSchoutensTistaert

public AlbrecherMayerSchoutensTistaert()

Method Detail

main

public static final void main(java.lang.String[] astrArgs)
                       throws java.lang.Exception

Throws:

java.lang.Exception