Karel in't Hout, Joris Bierkens, Antoine von der Ploeg,
Joe in't Panhuis, A Semi closed-from analytic pricing formula for
call options in a hybrid Heston-Hull-White Model.
the correctness of the returned value is tested by
reproducing results available in web/literature, testing
against QuantLib's analytic Heston and
Black-Scholes-Merton Hull-White engine
Analytic Heston engine incl. stochastic interest rates
This class is pricing a european option under the following process
$$ \begin{array}{rcl} dS(t, S) &=& (r-d) S dt +\sqrt{v} S dW_1 \ dv(t, S) &=& \kappa (\theta - v) dt + \sigma \sqrt{v} dW_2 \ dr(t) &=& (\theta(t) - a r) dt + \eta dW_3 \ dW_1 dW_2 &=& \rho dt \ dW_1 dW_3 &=& 0 \ dW_2 dW_3 &=& 0 \ \end{array} $$
References:
Karel in't Hout, Joris Bierkens, Antoine von der Ploeg, Joe in't Panhuis, A Semi closed-from analytic pricing formula for call options in a hybrid Heston-Hull-White Model.
A. Sepp, Pricing European-Style Options under Jump Diffusion Processes with Stochastic Volatility: Applications of Fourier Transform (http://math.ut.ee/~spartak/papers/stochjumpvols.pdf)
the correctness of the returned value is tested by reproducing results available in web/literature, testing against QuantLib's analytic Heston and Black-Scholes-Merton Hull-White engine