AnalyticPTDHeston

Subtype of Pricing Method

Minimum required license: Standard
Corresponds to the QuantLib AnalyticPTDHestonEngine, which is the Piecewise Time Dependent version of the regular AnalyticHestonEngine.
2-factor model, with a semi closed-form solution, driven by stochastic underlying price and volatility.
The underlying price process is modelled according to
PTD Heston Model