QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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variancegamma Directory Reference

Files

file  analyticvariancegammaengine.cpp [code]
 
file  analyticvariancegammaengine.hpp [code]
 Analytic Variance Gamma option engine for vanilla options.
 
file  fftengine.cpp [code]
 
file  fftengine.hpp [code]
 base class for FFT option pricing engines
 
file  fftvanillaengine.cpp [code]
 
file  fftvanillaengine.hpp [code]
 FFT engine for vanilla options under a Black Scholes process.
 
file  fftvariancegammaengine.cpp [code]
 
file  fftvariancegammaengine.hpp [code]
 FFT engine for vanilla options under a Variance Gamma process.
 
file  variancegammamodel.cpp [code]
 
file  variancegammamodel.hpp [code]
 Variance Gamma model.
 
file  variancegammaprocess.cpp [code]
 
file  variancegammaprocess.hpp [code]
 Variance Gamma stochastic process.