## 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

Minimum required license:

*Standard*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

Minimum required license:

*Standard*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

Minimum required license:

*Standard*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

Minimum required license:

*Standard*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

Minimum required license:

*Standard*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