Generalized Bates Model with stochastic correlation and stochastic interest rate. Found analytical solution for characteristic function of the SDE system. Found almost-exact solution under Q measure. Applied measure transformation Q->T and found almost-exact solution under T-measure. Consider different stochastic correlation processes (Ornstein-Uhlenbek, DCL).
Main files Calibrations/Calibration_Main_Calls, Calibrations/Calibration_Main_Puts
All packages in folder AllFunctions