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Re: [Quantlib-dev] class AnalyticHestonEngine / AnalyticHestonEngine::Integration
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From: Luigi B. <lui...@gm...> - 2010-01-19 11:03:14
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On Tue, 2010-01-19 at 11:47 +0100, Klaus Spanderen wrote: > > Finally, can someone verify the following (Line 537 of > > ... > > correct. Corresponds to equation 41 & 42 in the Kahl Jäckel paper > http://www.nccr-finrisk.uzh.ch/media/pdf/KahlJackel.pdf I'd use the readable version, then... Luigi -- Cogito ergo I'm right and you're wrong. -- Blair Houghton |
