Barrier option engines
[Pricing engines]
Classes | |
class | PerturbativeBarrierOptionEngine |
perturbative barrier-option engine More... | |
class | FdBlackScholesBarrierEngine |
Finite-Differences Black Scholes barrier option engine. More... | |
class | FdBlackScholesRebateEngine |
Finite-Differences Black Scholes barrier option rebate helper engine. More... | |
class | FdHestonBarrierEngine |
Finite-Differences Heston Barrier Option engine. More... | |
class | FdHestonRebateEngine |
Finite-Differences Heston Barrier Option rebate helper engine. More... | |
class | AnalyticBarrierEngine |
Pricing engine for barrier options using analytical formulae. More... | |
class | MCBarrierEngine |
Pricing engine for barrier options using Monte Carlo simulation. More... |