FD Kluge/extended Ornstein-Uhlenbeck engine for a simple power-gas spread option. More...
#include <ql/pricingengine.hpp>
#include <ql/instruments/vanillaoption.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
#include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>
#include <ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp>
#include <ql/experimental/processes/klugeextouprocess.hpp>
Namespaces | |
namespace | QuantLib |
FD Kluge/extended Ornstein-Uhlenbeck engine for a simple power-gas spread option.