R Implementation of the Heston Stochastic Local Volatility Model

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Documentation for package ‘RHestonSLV’ version 0.1.0

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HestonLocalVolSurface Class '"HestonLocalVolSurface"'
HestonProcess Class '"HestonProcess"'
hestonSLVBarrierPricer Barrier Option Pricer for the Heston SLV Model
hestonSLVBarrierPricer.default Barrier Option Pricer for the Heston SLV Model
hestonSLVDoubleNoTouchBarrierPricer Double No Touch Barrier Option Pricer for the Heston SLV Model
hestonSLVDoubleNoTouchBarrierPricer.default Double No Touch Barrier Option Pricer for the Heston SLV Model
HestonSLVFDMModel Class '"HestonSLVFDMModel"'
HestonSLVFDMParams Class '"HestonSLVFDMParams"'
hestonSLVForwardOptionPricer Vanilla Forward Starting Option Pricer for the Heston SLV Model
hestonSLVForwardOptionPricer.default Vanilla Forward Starting Option Pricer for the Heston SLV Model
HestonSLVMCModel Class '"HestonSLVMCModel"'
HestonSLVMCParams Class '"HestonSLVMCParams"'
hestonSLVOptionPricer Vanilla Option Pricer for the Heston SLV Model
hestonSLVOptionPricer.default Vanilla Option Pricer for the Heston SLV Model