Pricing engine for European Simple Chooser option. More...
#include <ql/experimental/exoticoptions/analyticsimplechooserengine.hpp>
Public Member Functions | |
AnalyticSimpleChooserEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) | |
void | calculate () const |
Additional Inherited Members | |
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SimpleChooserOption::arguments | arguments_ |
SimpleChooserOption::results | results_ |
Pricing engine for European Simple Chooser option.
This class implements a Simple Chooser Option option, with European exercise.