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
The underlying price is modelled according to
Heston Model

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