AnalyticHeston

Subtype of Pricing Method

Minimum required license: Standard
Corresponds to the QuantLib AnalyticHestonEngine.
2-factor model, with a closed-form solution, driven by stochastic underlying price and volatility.
The underlying price process is modelled according to
Heston Model
Allows the specification of:
Complex Log Formula
Integration
and also of the absolute/relative tolerance, maximum number of evaluations and the Andersen Piterbarg epsilon wrt the Fourier integration.