FdBatesVanilla

Subtype of Pricing Method

Corresponds to the QuantLib FdBatesVanillaEngine.
3-factor model driven by stochastic underlying price, volatility and jumps.
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 according to Bates Model

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