MCHestonHullWhite

Subtype of Pricing Method

Minimum required license: Standard
Corresponds to the QuantLib MCHestonHullWhiteEngine.
It uses a Monte Carlo method to implement the Heston-Hull&White stochastic volatility and interest rates model for pricing european options.
For a general discussion on the Monte Carlo approach click
here

This method requires the specification of an object of type
Model[Simulation]