Re: Heston analytic engine possible problem?

Posted by YiannisP on Jan 19, 2017; 10:54pm
URL: http://quantlib.414.s1.nabble.com/Heston-analytic-engine-possible-problem-tp17977p17978.html

Let me correct myself. Laguerre does actually give an accurate result. It's GaussLobato that seems to fail.