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