Lech A. Grzelak,
Equity and Foreign Exchange Hybrid Models for
Pricing Long-Maturity Financial Derivatives,
http://repository.tudelft.nl/assets/
uuid:a8e1a007-bd89-481a-aee3-0e22f15ade6b/PhDThesis_main.pdf
test
the correctness of the returned value is tested by
reproducing results available in web/literature, testing
against QuantLib's analytic Heston,
the Black-Scholes-Merton Hull-White engine and
the finite difference Heston-Hull-White engine
Analytic Heston-Hull-White engine based on the H1-HW approximation
This class is pricing a european option under the following process
$$ \begin{array}{rcl} dS(t, S) &=& (r-d) S dt +\sqrt{v} S dW_1 \ dv(t, S) &=& \kappa (\theta - v) dt + \sigma \sqrt{v} dW_2 \ dr(t) &=& (\theta(t) - a r) dt + \eta dW_3 \ dW_1 dW_2 &=& \rho_{S,v} dt, \rho_{S,r} >= 0 \ dW_1 dW_3 &=& \rho_{S.r} dt \ dW_2 dW_3 &=& 0 dt \ \end{array} $$
References:
Lech A. Grzelak, Cornelis W. Oosterlee, On The Heston Model with Stochastic, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1382902
Lech A. Grzelak, Equity and Foreign Exchange Hybrid Models for Pricing Long-Maturity Financial Derivatives, http://repository.tudelft.nl/assets/ uuid:a8e1a007-bd89-481a-aee3-0e22f15ade6b/PhDThesis_main.pdf
the correctness of the returned value is tested by reproducing results available in web/literature, testing against QuantLib's analytic Heston, the Black-Scholes-Merton Hull-White engine and the finite difference Heston-Hull-White engine