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