Variations - 2023.2 English

Vitis Libraries

Release Date
2023.2 English

In this release we provide five variations of Heston Model implementation, including kDTFullTruncation, kDTPartialTruncation, kDTReflection, kDTQuadraticExponential and kDTQuadraticExponentialMartingale. The first three are relatively simple when dealing with negative volatility. kDTQuadraticExponential and kDTQuadraticExponentialMartingale use a better approximation method to get results with higher precision while taking more resource.