pathmultiassetoption (3) - Linux Manuals

pathmultiassetoption: Option on multiple assets.

NAME

ql/experimental/mcbasket/pathmultiassetoption.hpp - Option on multiple assets.

SYNOPSIS

#include <ql/instrument.hpp>
#include <ql/stochasticprocess.hpp>
#include <ql/math/matrix.hpp>
#include <ql/experimental/mcbasket/pathpayoff.hpp>

Classes

class PathMultiAssetOption
Base class for path-dependent options on multiple assets.
class arguments
Arguments for multi-asset option calculation
class results
Results from multi-asset option calculation

Detailed Description

Option on multiple assets.

Author

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