Skip to main content

bates_price

Function bates_price 

Source
pub fn bates_price(
    s: f64,
    k: f64,
    r: f64,
    q: f64,
    t: f64,
    params: &BatesParams,
    put_or_call: PutOrCall,
) -> f64
Expand description

Semi-analytic Bates (SVJ) price of a European vanilla option.