barrierengines (3) - Linux Manuals

NAME

Barrier option engines -

Classes

class PerturbativeBarrierOptionEngine
perturbative barrier-option engine
class FdBlackScholesBarrierEngine
Finite-Differences Black Scholes barrier option engine.
class FdBlackScholesRebateEngine
Finite-Differences Black Scholes barrier option rebate helper engine.
class FdHestonBarrierEngine
Finite-Differences Heston Barrier Option engine.
class FdHestonRebateEngine
Finite-Differences Heston Barrier Option rebate helper engine.
class AnalyticBarrierEngine
Pricing engine for barrier options using analytical formulae.
class MCBarrierEngine< RNG, S >
Pricing engine for barrier options using Monte Carlo simulation.

Detailed Description

Author

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