ql/pricingengines/vanilla/jumpdiffusionengine.hpp File Reference


Detailed Description

Jump diffusion (Merton 1976) engine.

#include <ql/instruments/vanillaoption.hpp>

Include dependency graph for jumpdiffusionengine.hpp:


Namespaces

namespace  QuantLib

Classes

class  JumpDiffusionEngine
 Jump-diffusion engine for vanilla options. More...