QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Files | |
file | extendedblackscholesprocess.cpp [code] |
file | extendedblackscholesprocess.hpp [code] |
experimental Black-Scholes-Merton process | |
file | extendedornsteinuhlenbeckprocess.cpp [code] |
file | extendedornsteinuhlenbeckprocess.hpp [code] |
extended Ornstein-Uhlenbeck process | |
file | extouwithjumpsprocess.cpp [code] |
file | extouwithjumpsprocess.hpp [code] |
Ornstein Uhlenbeck process plus exp jumps (Kluge Model) | |
file | gemanroncoroniprocess.cpp [code] |
Geman-Roncoroni process. | |
file | gemanroncoroniprocess.hpp [code] |
Geman-Roncoroni process. | |
file | klugeextouprocess.cpp [code] |
file | klugeextouprocess.hpp [code] |
joint Kluge process an d Ornstein Uhlenbeck process | |
file | vegastressedblackscholesprocess.cpp [code] |
file | vegastressedblackscholesprocess.hpp [code] |
Black-Scholes process which supports local vega stress tests. | |