Files | |
file | fd2dblackscholesvanillaengine.hpp |
Finite-Differences 2 dim Black Scholes vanilla option engine. | |
file | kirkengine.hpp |
kirk formulae, due to Kirk (1995) | |
file | mcamericanbasketengine.hpp |
Least-square Monte Carlo engines. | |
file | mceuropeanbasketengine.hpp |
European basket MC Engine. | |
file | stulzengine.hpp |
2D European Basket formulae, due to Stulz (1982) | |