Files | |
file | analyticamericanmargrabeengine.hpp |
Analytic engine for American Margrabe option. | |
file | analyticeuropeanmargrabeengine.hpp |
Analytic engine for European Margrabe option. | |
file | analyticsimplechooserengine.hpp |
Analytic engine for simple chooser option. | |
file | analyticwriterextensibleoptionengine.hpp |
Analytic engine for writer-extensible options. | |
file | continuousarithmeticasianlevyengine.hpp |
Levy engine for continuous arithmetic Asian options. | |
file | everestoption.hpp |
Everest option on a number of assets. | |
file | himalayaoption.hpp |
Himalaya option on a number of assets. | |
file | kirkspreadoptionengine.hpp |
Kirk approximation for European spread option on futures. | |
file | margrabeoption.hpp |
Margrabe option on two assets. | |
file | mceverestengine.hpp |
Monte Carlo engine for Everest options. | |
file | mchimalayaengine.hpp |
Monte Carlo engine for Himalaya options. | |
file | mcpagodaengine.hpp |
Monte Carlo engine for pagoda options. | |
file | pagodaoption.hpp |
Roofed Asian option on a number of assets. | |
file | simplechooseroption.hpp |
Simple chooser option on a single asset. | |
file | spreadoption.hpp |
Spread option on two assets. | |
file | writerextensibleoption.hpp |
Writer-extensible option. | |