FDApproach
List of valid values:
FdBlackScholesVanilla
Subtype of Pricing Method
Corresponds to the QuantLib FdBlackScholesVanillaEngine.
This method requires the specification of an object of type Finite Differences
FdBlackScholesBarrier
Subtype of Pricing Method
Corresponds to the QuantLib FdBlackScholesBarrierEngine, which internally calls the FdBlackScholesRebate engine if rebates are present.
This method requires the specification of an object of type Finite Differences
FdHestonVanilla
Subtype of Pricing Method
Corresponds to the QuantLib FdHestonVanillaEngine.
2-factor model driven by stochastic underlying price and volatility.
It makes use of the implicit finite differences numerical scheme developed by John Crank and Phyllis Nicolson. Web reference available here
The underlying price is modelled according to Heston Model
This method requires the specification of an object of type Finite Differences
FdHestonBarrier
Subtype of Pricing Method
Corresponds to the QuantLib FdHestonBarrierEngine, which internally calls the FdHestonRebate engine if rebates are present.
2-factor model driven by stochastic underlying price and volatility.
It makes use of the implicit finite differences numerical scheme developed by John Crank and Phyllis Nicolson. Web reference available here
The underlying price is modelled according to Heston Model
This method requires the specification of an object of type Finite Differences
FdBatesVanilla
Subtype of Pricing Method
Corresponds to the QuantLib FdBatesVanillaEngine.
3-factor model driven by stochastic underlying price, volatility and jumps.
It makes use of the implicit finite differences numerical scheme developed by John Crank and Phyllis Nicolson. Web reference available here
The underlying price is modelled according to Bates Model
This method requires the specification of an object of type Finite Differences
FdHestonHullWhiteVanilla
Subtype of Pricing Method
Corresponds to the QuantLib FdHestonHullWhiteVanillaEngine.
3-factor model driven by stochastic underlying price, volatility and interest rates.
It makes use of the implicit finite differences numerical scheme developed by John Crank and Phyllis Nicolson. Web reference available here
The underlying price is modelled to follow a Heston stochastic volatility process as in Heston Model, whereas the interest rate is also stochastic and modelled according to Hull White Model
This method requires the specification of an object of type Finite Differences