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

GJR-GARCH model for the stochastic volatility of an asset. More...

#include <ql/models/model.hpp>
#include <ql/processes/gjrgarchprocess.hpp>

Go to the source code of this file.

Classes

class  GJRGARCHModel
 GJR-GARCH model for the stochastic volatility of an asset. More...
 

Namespaces

namespace  QuantLib
 

Detailed Description

GJR-GARCH model for the stochastic volatility of an asset.

analytical approximation pricing engine for a GJR-GARCH option based on Edgeworth expansion

Definition in file gjrgarchmodel.hpp.