QuantLib_PerturbativeBarrierOptionEngine (3) - Linux Manuals
QuantLib_PerturbativeBarrierOptionEngine: perturbative barrier-option engine
NAME
QuantLib::PerturbativeBarrierOptionEngine - perturbative barrier-option engine
SYNOPSIS
#include <ql/experimental/barrieroption/perturbativebarrieroptionengine.hpp>
Inherits QuantLib::BarrierOption::engine.
Public Member Functions
PerturbativeBarrierOptionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Natural order=1, bool zeroGamma=false)
void calculate () const
Detailed Description
perturbative barrier-option engine
This engine implements the approach described in <http://www.econ.univpm.it/recchioni/finance/w3/>.
Author
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