AnalyticPTDHeston
Subtype of Pricing MethodCorresponds 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