- QuantLib
- VarianceGammaProcess
Variance gamma process. More...
#include <ql/experimental/variancegamma/variancegammaprocess.hpp>

Public Member Functions | |
| VarianceGammaProcess (const Handle< Quote > &s0, const Handle< YieldTermStructure > ÷ndYield, const Handle< YieldTermStructure > &riskFreeRate, Real sigma, Real nu, Real theta) | |
| Real | x0 () const |
| returns the initial value of the state variable | |
| Real | drift (Time t, Real x) const |
returns the drift part of the equation, i.e. | |
| Real | diffusion (Time t, Real x) const |
returns the diffusion part of the equation, i.e. | |
| Real | sigma () const |
| Real | nu () const |
| Real | theta () const |
| const Handle< Quote > & | s0 () const |
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const Handle < YieldTermStructure > & | dividendYield () const |
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const Handle < YieldTermStructure > & | riskFreeRate () const |
Variance gamma process.
This class describes the stochastic volatility process. With a Brownian motion given by
then a Variance Gamma process X is defined by evaluating this Brownian motion at sample times driven by a Gamma process. If T is the value of a Gamma process with mean 1 and variance rate
then the Variance Gamma process is given by