QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Files | |
file | analytic_cont_geom_av_price_heston.cpp [code] |
file | analytic_cont_geom_av_price_heston.hpp [code] |
Analytic engine for continuous geometric average price Asian in the Heston model. | |
file | analytic_discr_geom_av_price_heston.cpp [code] |
file | analytic_discr_geom_av_price_heston.hpp [code] |
Analytic engine for discrete geometric average price Asian in the Heston model. | |