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 is relatively simple dealing with negative volatility. kDTQuadraticExponential and kDTQuadraticExponential Martingale use better approximation method to get result with better precision while taking more resources.