QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Pricing engine for European vanilla options using a constant elasticity of variance (CEV) model. More...
Go to the source code of this file.
Classes | |
class | CEVCalculator |
constant elasticity of variance process (absorbing boundary at f=0) More... | |
class | AnalyticCEVEngine |
Namespaces | |
namespace | QuantLib |
Pricing engine for European vanilla options using a constant elasticity of variance (CEV) model.
Definition in file analyticcevengine.hpp.