ql/pricingengines/vanilla/mceuropeangjrgarchengine.hpp File Reference
Monte Carlo GJR-GARCH-model engine for European options. More...
#include <ql/pricingengines/vanilla/mcvanillaengine.hpp>
#include <ql/processes/gjrgarchprocess.hpp>
Include dependency graph for mceuropeangjrgarchengine.hpp:

Classes | |
class | MCEuropeanGJRGARCHEngine |
Monte Carlo GJR-GARCH-model engine for European options. More... | |
class | MakeMCEuropeanGJRGARCHEngine |
Monte Carlo GJR-GARCH European engine factory. More... |
Detailed Description
Monte Carlo GJR-GARCH-model engine for European options.