PerturbativeBarrierOptionEngine Class Reference
perturbative barrier-option engine More...
#include <ql/experimental/barrieroption/perturbativebarrieroptionengine.hpp>
Inheritance diagram for PerturbativeBarrierOptionEngine:

Public Member Functions | |
PerturbativeBarrierOptionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Natural order=1, bool zeroGamma=false) | |
void | calculate () const |
Detailed Description
perturbative barrier-option engine
This engine implements the approach described in <http://www.econ.univpm.it/recchioni/finance/w3/>.