Re: [Quantlib-users] Heston Calibration for American

[Jonathan S. <sw...@gm...>]

Hi Anders,

Looks like there is some code in the QuantLib test suite for American-style
vanilla Heston pricing using FD [1]. You might be able to reuse some of
this code for calibration purposes as well.

[1]
https://github.com/lballabio/QuantLib/blob/master/test-suite/hestonmodel.cpp#L665

On Wed, Feb 2, 2022 at 4:33 AM Anders Johansson <and...@ti...>
wrote:

> Hi,
>
> Is there a way to calibrate a heston model to american options using QL?
> Which variety is the fastest?
>
> Thank you very much.
>
> //A
>
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