QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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GJR-GARCH model for the stochastic volatility of an asset. More...
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Classes | |
class | GJRGARCHModel |
GJR-GARCH model for the stochastic volatility of an asset. More... | |
Namespaces | |
namespace | QuantLib |
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.