jumpdiffusionengine.hpp

Langue: en

Autres versions - même langue

Version: 170840 (fedora - 06/07/09)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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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