Package 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 Description
    HestonAMSTPayoffTransform()  

  • 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

    • HestonAMSTPayoffTransform

      public HestonAMSTPayoffTransform()

  • 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