ql/pricingengines/basket/stulzengine.hpp File Reference
2D European Basket formulae, due to Stulz (1982) More...
#include <ql/instruments/basketoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
Include dependency graph for stulzengine.hpp:

Classes | |
class | StulzEngine |
Pricing engine for 2D European Baskets. More... |
Detailed Description
2D European Basket formulae, due to Stulz (1982)