integralhestonvarianceoptionengine.hpp

Langue: en

Autres versions - même langue

Version: 168995 (fedora - 05/07/09)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/experimental/varianceoption/integralhestonvarianceoptionengine.hpp - integral Heston-model variance-option engine

SYNOPSIS


#include <ql/experimental/varianceoption/varianceoption.hpp>
#include <ql/processes/hestonprocess.hpp>

Classes


class IntegralHestonVarianceOptionEngine
integral Heston-model variance-option engine

Detailed Description

integral Heston-model variance-option engine

Author

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