Model[Vanilla_Option]__Integration

Defines the algorithm used to carry out the Fourier integration.

Available

Corresponds to the QuantLib DiscreteSimpson Fourier integration algorithm of the AnalyticHestonEngine.

Usually this routine has a poor convergence behavior.

Corresponds to the QuantLib DiscreteTrapezoid Fourier integration algorithm of the AnalyticHestonEngine.

Usually this routine has a poor convergence behavior.

Corresponds to the QuantLib GaussChebyshev Fourier integration algorithm of the AnalyticHestonEngine.

Non adaptive integration algorithm based on Gaussian quadrature

Corresponds to the QuantLib GaussChebyshev2nd Fourier integration algorithm of the AnalyticHestonEngine.

Non adaptive integration algorithm based on Gaussian quadrature

Corresponds to the QuantLib GaussKronrod Fourier integration algorithm of the AnalyticHestonEngine.

Usually this routine has a poor convergence behavior.

Corresponds to the QuantLib GaussLaguerre Fourier integration algorithm of the AnalyticHestonEngine.

Non adaptive integration algorithm based on Gaussian quadrature

Corresponds to the QuantLib GaussLegendre Fourier integration algorithm of the AnalyticHestonEngine.

Non adaptive integration algorithm based on Gaussian quadrature

Corresponds to the QuantLib GaussLobatto Fourier integration algorithm of the AnalyticHestonEngine.

For an adaptive integration algorithm, Gatheral's version must be used for the complex logarithm.

Be aware: Using a too large number for

Corresponds to the QuantLib Simpson Fourier integration algorithm of the AnalyticHestonEngine.

Usually this routine has a poor convergence behavior.

Corresponds to the QuantLib Trapezoid Fourier integration algorithm of the AnalyticHestonEngine.

Usually this routine has a poor convergence behavior.