Variations - Variations - 2024.2 English

Vitis Libraries

Release Date
2025-05-14
Version
2024.2 English

In this release, five variations of Heston Model implementation, including kDTFullTruncation, kDTPartialTruncation, kDTReflection, kDTQuadraticExponential, and kDTQuadraticExponentialMartingale are provided. 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.