PerturbativeBarrierOptionEngine Class Reference

perturbative barrier-option engine More...

#include <ql/experimental/barrieroption/perturbativebarrieroptionengine.hpp>

Inheritance diagram for PerturbativeBarrierOptionEngine:

Public Member Functions

 PerturbativeBarrierOptionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Natural order=1, bool zeroGamma=false)
 
void calculate () const
 

Additional Inherited Members

- Protected Member Functions inherited from BarrierOption::engine
bool triggered (Real underlying) const
 
- Protected Attributes inherited from GenericEngine< BarrierOption::arguments, BarrierOption::results >
BarrierOption::arguments arguments_
 
BarrierOption::results results_
 

Detailed Description

perturbative barrier-option engine

This engine implements the approach described in http://www.econ.univpm.it/recchioni/finance/w3/.