QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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fdcevvanillaengine.hpp File Reference

Finite-Differences pricing engine for the CEV model. More...

#include <ql/handle.hpp>
#include <ql/instruments/vanillaoption.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>

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Classes

class  FdCEVVanillaEngine
 

Namespaces

namespace  QuantLib
 

Detailed Description

Finite-Differences pricing engine for the CEV model.

Definition in file fdcevvanillaengine.hpp.