AnalyticHestonHullWhite
Subtype of Pricing MethodCorresponds to the QuantLib AnalyticHestonHullWhiteEngine.
3-factor model, with a semi closed-form solution for call options, driven by stochastic underlying price, volatility and interest rates.
In particular, the underlying price is modelled to follow a Heston stochastic volatility process as in Heston Model, whereas the interest rate is modelled according to Hull White Model
References: Karel in't Hout, Joris Bierkens, Antoine von der Ploeg, Joe in't Panhuis.