All
Silicon Devices
Boards and Kits
Intellectual Property
Support
Documentation
Knowledge Base
Community Forums
Partners
Videos
Press
Applications
Products
Developers
Support
About
All
Silicon Devices
Boards and Kits
Intellectual Property
Support
Documentation
Knowledge Base
Community Forums
Partners
Videos
Press
Search
Vitis Quantitative Finance Library
2019.2
Library Overview
Requirements
License
Trademark Notice
Release Note
User Guide
Pricing Models and Numerical Methods
Models
Black-Scholes Model
Heston Model
Hull-White Model
Black-Karasinski Model
Cox-Ingersoll-Ross Model
Extended Cox-Ingersoll-Ross Model
Vasicek Model
G2 Model
Numerical Methods
Monte Carlo Simulation
Finite Difference Methods
Binomial Tree, Cox-Ross-Rubinstein, Method
Internal Design of Tree Lattice
Closed-Form Solution Methods
Heston Model Closed-Form Solution
Merton 76 Closed-Form Solution
Garman-Kohlhagen Closed-Form Solution
Quanto Closed-Form Solution
L1 Module User Guide
L2 Kernel User Guide
L3 Overlay User Guide
Benchmark Result
Quality and Performance
Vitis Quantitative Finance Library
»
Pricing Models and Numerical Methods
Pricing Models and Numerical Methods
¶
Models
¶
Black-Scholes Model
Heston Model
Hull-White Model
Black-Karasinski Model
Cox-Ingersoll-Ross Model
Extended Cox-Ingersoll-Ross Model
Vasicek Model
G2 Model
Numerical Methods
¶
Monte Carlo Simulation
Finite Difference Methods
Binomial Tree, Cox-Ross-Rubinstein, Method
Internal Design of Tree Lattice
Closed-Form Solution Methods
¶
Heston Model Closed-Form Solution
Merton 76 Closed-Form Solution
Garman-Kohlhagen Closed-Form Solution
Quanto Closed-Form Solution