Package 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 Description
    AlbrecherMayerSchoutensTistaert()  

  • Method Summary

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

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • AlbrecherMayerSchoutensTistaert

      public AlbrecherMayerSchoutensTistaert()

  • Method Details

    • main

      public static final void main​(java.lang.String[] astrArgs) throws java.lang.Exception
      Entry Point
      Parameters:
      astrArgs - Command Line Argument Array
      Throws:
      java.lang.Exception - Thrown on Error/Exception Situation