ql/pricingengines/vanilla/jumpdiffusionengine.hpp File Reference
Jump diffusion (Merton 1976) engine. More...
#include <ql/instruments/vanillaoption.hpp>
#include <ql/processes/merton76process.hpp>
Include dependency graph for jumpdiffusionengine.hpp:

Classes | |
class | JumpDiffusionEngine |
Jump-diffusion engine for vanilla options. More... |
Detailed Description
Jump diffusion (Merton 1976) engine.