fdmblackscholesop.hpp

Langue: en

Autres versions - même langue

Version: 378718 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/experimental/finitedifferences/fdmblackscholesop.hpp -

Black Scholes linear operator.

SYNOPSIS


#include <ql/payoff.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/experimental/finitedifferences/firstderivativeop.hpp>
#include <ql/experimental/finitedifferences/triplebandlinearop.hpp>
#include <ql/experimental/finitedifferences/fdmlinearopcomposite.hpp>

Detailed Description

Black Scholes linear operator.

Author

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