QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Analytic Variance Gamma option engine for vanilla options. More...
#include <ql/instruments/vanillaoption.hpp>
#include <ql/experimental/variancegamma/variancegammaprocess.hpp>
Go to the source code of this file.
Classes | |
class | VarianceGammaEngine |
Variance Gamma Pricing engine for European vanilla options using integral approach. More... | |
Namespaces | |
namespace | QuantLib |
Analytic Variance Gamma option engine for vanilla options.
Definition in file analyticvariancegammaengine.hpp.