ExponentialJump1dMesher

NAME

ExponentialJump1dMesher

SYNOPSIS

#include <ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp>

Inherits Fdm1dMesher.

Public Member Functions

ExponentialJump1dMesher (Size steps, Real beta, Real jumpIntensity, Real eta, Real eps=1e−3)
Real jumpSizeDensity (Real x) const
Real jumpSizeDensity (Real x, Time t) const
Real jumpSizeDistribution (Real x) const
Real jumpSizeDistribution (Real x, Time t) const

Detailed Description

Mesher for a exponential jump process with high mean reversion rate and g i n { a r r a y } { low jump intensity r c l } d Y _ t & = & -

References: B. Hambly, S. Howison, T. Kluge, Modelling spikes and pricing swing options in electricity markets, http://people.maths.ox.ac.uk/hambly/PDF/Papers/elec.pdf

Author

Generated automatically by Doxygen for QuantLib from the source code.