FDApproach

Corresponds to the QuantLib FdBlackScholesVanilla Engine.

This method requires the specification of an object of type Finite Differences

Corresponds to the QuantLib FdBlackScholesBarrier Engine, which internally calls the FdBlackScholesRebate engine if rebates are present.

This method requires the specification of an object of type Finite Differences

Corresponds to the QuantLib FDEuropean Engine.

It makes use of the implicit finite differences numerical scheme developed by John Crank and Phyllis Nicolson. Web reference available here

Known issue:

Although this method can only handle european options, it does not complain when the option being priced is not european.

The pricing proceeds silently as if were european!

This is a QuantLib treatment, which Deriscope does not attempt to alter.

This method requires the specification of an object of type Finite Differences

Corresponds to the QuantLib FDDividendEuropean Engine.

It makes use of the implicit finite differences numerical scheme developed by John Crank and Phyllis Nicolson. Web reference available here

Known issue:

Although this method can only handle european options, it does not complain when the option being priced is not european.

The pricing proceeds silently as if were european!

This is a QuantLib treatment, which Deriscope does not attempt to alter.

This method requires the specification of an object of type Finite Differences

Corresponds to the QuantLib FDAmerican Engine.

It makes use of the implicit finite differences numerical scheme developed by John Crank and Phyllis Nicolson. Web reference available here

This method requires the specification of an object of type Finite Differences

Corresponds to the QuantLib FDDividendAmerican Engine.

It makes use of the implicit finite differences numerical scheme developed by John Crank and Phyllis Nicolson. Web reference available here

This method requires the specification of an object of type Finite Differences

Corresponds to the QuantLib FDBermudan Engine.

It makes use of the implicit finite differences numerical scheme developed by John Crank and Phyllis Nicolson. Web reference available here

This method requires the specification of an object of type Finite Differences

Corresponds to the QuantLib FdHestonVanilla Engine.

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

Corresponds to the QuantLib FdHestonBarrier Engine, 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

Corresponds to the QuantLib FdBatesVanilla Engine.

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

Corresponds to the QuantLib FdHestonHullWhiteVanilla Engine.

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