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integralhestonvarianceoptionengine.hpp
Langue: en
Version: 382111 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
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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