Table of Contents

Enum AnalyticPTDHestonEngineComplexLogFormula

Namespace
NanoQL.PricingEngines
Assembly
NanoQL.dll

The formulations AnalyticPTDHestonEngine integrates by.

public enum AnalyticPTDHestonEngineComplexLogFormula

Fields

AndersenPiterbarg = 1

Andersen and Piterbarg's form, with Black's price at the average variance as the control variate.

Gatheral = 0

Gatheral's form of the characteristic function, the probabilities P1 and P2 integrated.