fdblackscholesvanillaengine (3) - Linux Manuals

fdblackscholesvanillaengine: Finite-Differences Black Scholes vanilla option engine.

NAME

ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp - Finite-Differences Black Scholes vanilla option engine.

SYNOPSIS

#include <ql/pricingengine.hpp>
#include <ql/instruments/dividendvanillaoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>

Classes

class FdBlackScholesVanillaEngine
Finite-Differences Black Scholes vanilla option engine.

Detailed Description

Finite-Differences Black Scholes vanilla option engine.

Author

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