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jumpdiffusionengine.hpp
Langue: en
Version: 383074 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/pricingengines/vanilla/jumpdiffusionengine.hpp -Jump diffusion (Merton 1976) engine.
SYNOPSIS
#include <ql/instruments/vanillaoption.hpp>
#include <ql/processes/merton76process.hpp>
Classes
class JumpDiffusionEngine
Jump-diffusion engine for vanilla options.
Detailed Description
Jump diffusion (Merton 1976) engine.
Author
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