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... |