integralhestonvarianceoptionengine (3) - Linux Manuals

integralhestonvarianceoptionengine: integral Heston-model variance-option engine

NAME

ql/experimental/varianceoption/integralhestonvarianceoptionengine.hpp - integral Heston-model variance-option engine

SYNOPSIS

#include <ql/experimental/varianceoption/varianceoption.hpp>
#include <ql/processes/hestonprocess.hpp>

Classes

class IntegralHestonVarianceOptionEngine
integral Heston-model variance-option engine

Detailed Description

integral Heston-model variance-option engine

Author

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