Files | |
file | extendedblackscholesprocess.hpp |
experimental Black-Scholes-Merton process | |
file | extendedornsteinuhlenbeckprocess.hpp |
extended Ornstein-Uhlenbeck process | |
file | extouwithjumpsprocess.hpp |
Ornstein Uhlenbeck process plus exp jumps (Kluge Model) | |
file | gemanroncoroniprocess.hpp |
Geman-Roncoroni process. | |
file | klugeextouprocess.hpp |
joint Kluge process an d Ornstein Uhlenbeck process | |
file | vegastressedblackscholesprocess.hpp |
Black-Scholes process which supports local vega stress tests. | |