Hi,
I believe BlackScholesProcess uses
Euler scheme to evolve the stochastic process (the default
behavior).
Could some one please tell me how I can change that
to use Milstein scheme instead. I can see that there is something similar to
that in HestonProcess in the evolve method. But it does not use any descritize
class. Instead it uses case statements to do the thing
Also I would like to know how I can use explicit
solution of the BS model instead of descritized versions.
The following is in
HestonProcess.
case ExactVariance:
// use Alan
Lewis trick to decorrelate the equity and the variance
// process by
using y(t)=x(t)-\frac{rho}{sigma}\nu(t)
// and Ito's
Lemma. Then use exact sampling for the variance
// process.
For further details please read the wilmott thread
// "QuantLib
code is very high quality"
The code underneath the above comment; is this an
example of exact solution?
Also I read the thread "QuantLib code is very high quality", in the Wilmot Forum, I
couldn't find anything related to ExactVariance, other than seeing a heat
equation in that thread.
Thanks and regards,
Thusitha
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