Vanilla option engines
[Pricing engines]
Classes | |
class | FdBlackScholesAsianEngine |
Finite-Differences Black Scholes arithmetic asian option engine. More... | |
class | FdBlackScholesVanillaEngine |
Finite-Differences Black Scholes vanilla option engine. More... | |
class | FdHestonHullWhiteVanillaEngine |
Finite-Differences Heston Hull-White Vanilla Option engine. More... | |
class | FdHestonVanillaEngine |
Finite-Differences Heston Vanilla Option engine. More... | |
class | AnalyticBSMHullWhiteEngine |
analytic european option pricer including stochastic interest rates More... | |
class | AnalyticDigitalAmericanEngine |
Analytic pricing engine for American vanilla options with digital payoff. More... | |
class | AnalyticDividendEuropeanEngine |
Analytic pricing engine for European options with discrete dividends. More... | |
class | AnalyticEuropeanEngine |
Pricing engine for European vanilla options using analytical formulae. More... | |
class | AnalyticGJRGARCHEngine |
GJR-GARCH(1,1) engine. More... | |
class | AnalyticHestonEngine |
analytic Heston-model engine based on Fourier transform More... | |
class | AnalyticHestonHullWhiteEngine |
Analytic Heston engine incl. stochastic interest rates. More... | |
class | BaroneAdesiWhaleyApproximationEngine |
Barone-Adesi and Whaley pricing engine for American options (1987). More... | |
class | BatesEngine |
Bates model engines based on Fourier transform. More... | |
class | BinomialVanillaEngine |
Pricing engine for vanilla options using binomial trees. More... | |
class | BjerksundStenslandApproximationEngine |
Bjerksund and Stensland pricing engine for American options (1993). More... | |
class | FDAmericanEngine |
Finite-differences pricing engine for American one asset options. More... | |
class | FDBermudanEngine |
Finite-differences Bermudan engine. More... | |
class | FDDividendAmericanEngine |
Finite-differences pricing engine for dividend American options. More... | |
class | FDDividendEngineMerton73 |
Finite-differences pricing engine for dividend options using escowed dividends model. More... | |
class | FDDividendEngineShiftScale |
Finite-differences engine for dividend options using shifted dividends. More... | |
class | FDDividendEuropeanEngine |
Finite-differences pricing engine for dividend European options. More... | |
class | FDDividendShoutEngine |
Finite-differences shout engine with dividends. More... | |
class | FDEuropeanEngine |
Pricing engine for European options using finite-differences. More... | |
class | FDShoutEngine |
Finite-differences pricing engine for shout vanilla options. More... | |
class | FDStepConditionEngine |
Finite-differences pricing engine for American-style vanilla options. More... | |
class | FDVanillaEngine |
Finite-differences pricing engine for BSM one asset options. More... | |
class | IntegralEngine |
Pricing engine for European vanilla options using integral approach. More... | |
class | JumpDiffusionEngine |
Jump-diffusion engine for vanilla options. More... | |
class | JuQuadraticApproximationEngine |
Pricing engine for American options with Ju quadratic approximation. More... | |
class | MCAmericanEngine |
American Monte Carlo engine. More... | |
class | MCDigitalEngine |
Pricing engine for digital options using Monte Carlo simulation. More... | |
class | MCEuropeanEngine |
European option pricing engine using Monte Carlo simulation. More... | |
class | MCEuropeanGJRGARCHEngine |
Monte Carlo GJR-GARCH-model engine for European options. More... | |
class | MCEuropeanHestonEngine |
Monte Carlo Heston-model engine for European options. More... | |
class | MCVanillaEngine |
Pricing engine for vanilla options using Monte Carlo simulation. More... |