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basketengines
Langue: en
Version: 379165 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
Basket option engines -Classes
class MCAmericanPathEngine< RNG >
least-square Monte Carlo engine
class MCAmericanBasketEngine< RNG >
least-square Monte Carlo engine
class MCEuropeanBasketEngine< RNG, S >
Pricing engine for European basket options using Monte Carlo simulation.
class StulzEngine
Pricing engine for 2D European Baskets.
Author
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