« Return to Thread: Heston.cpp Alan Lewis decorrelation for Heston

Heston.cpp Alan Lewis decorrelation for Heston

by PinkLizard :: Rate this Message:

Reply to Author | View in Thread

Hi,
In Hestonprocess.cpp there is a switch on Exact Variance Simulation where it's said that one uses Alan Lewi's trick to decorrelate equity and variance process.

Anyone can explain me this trick? I can't find it in the reference "Quantlib code is very high quality"...

Thanks

 « Return to Thread: Heston.cpp Alan Lewis decorrelation for Heston