perturbative barrier-option engine More...
#include <ql/experimental/barrieroption/perturbativebarrieroptionengine.hpp>
Public Member Functions | |
PerturbativeBarrierOptionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Natural order=1, bool zeroGamma=false) | |
void | calculate () const |
Additional Inherited Members | |
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bool | triggered (Real underlying) const |
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BarrierOption::arguments | arguments_ |
BarrierOption::results | results_ |
perturbative barrier-option engine
This engine implements the approach described in http://www.econ.univpm.it/recchioni/finance/w3/.