Re: [Quantlib-dev] Feller Constraint for Heston calibration

[Luigi B. <lui...@gm...>]

On Feb 18, 2008, at 9:24 PM, Klaus Spanderen wrote:
> often the Feller condition is not satisfied in real problems 
> (especially for
> equity and fx). In general this doesn't matter. And even if the 
> condition is
> fulfilled a plain vanilla Euler scheme will produce negative variance.

So Klaus, if I understand correctly, you advise against putting the 
constraint in?

Luigi