org.drip.sample.stochasticvolatility

Class HestonAMSTPayoffTransform

java.lang.Object

org.drip.sample.stochasticvolatility.HestonAMSTPayoffTransform

public class HestonAMSTPayoffTransform
extends java.lang.Object

HestonAMSTPayoffTransform contains an Comparison of the two ways of computing the Fourier convolution of the terminal payoff - the original Heston (1993) method, and the Albrecher, Mayer, Schoutens, and Tistaert tweak (2007).

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
HestonAMSTPayoffTransform()

Method Summary

Modifier and Type	Method and Description
static void	main(java.lang.String[] astrArgs)
static double	TestPayoffScheme(double dblTimeToExpiry, int iPayoffTransformScheme, boolean bProb1)

Methods inherited from class java.lang.Object

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

Constructor Detail

HestonAMSTPayoffTransform

public HestonAMSTPayoffTransform()

Method Detail

TestPayoffScheme

public static final double TestPayoffScheme(double dblTimeToExpiry,
                                            int iPayoffTransformScheme,
                                            boolean bProb1)
                                     throws java.lang.Exception

Throws:

java.lang.Exception

main

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

Throws:

java.lang.Exception