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

Analytic Variance Gamma option engine for vanilla options. More...

#include <ql/instruments/vanillaoption.hpp>
#include <ql/experimental/variancegamma/variancegammaprocess.hpp>

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Classes

class  VarianceGammaEngine
 Variance Gamma Pricing engine for European vanilla options using integral approach. More...
 

Namespaces

namespace  QuantLib
 

Detailed Description

Analytic Variance Gamma option engine for vanilla options.

Definition in file analyticvariancegammaengine.hpp.