Finite-Differences Heston barrier option rebate helper engine. More...
#include <ql/models/equity/hestonmodel.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/experimental/finitedifferences/fdmhestonsolver.hpp>
#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
#include <ql/experimental/finitedifferences/dividendbarrieroption.hpp>
Classes | |
class | FdHestonRebateEngine |
Finite-Differences Heston Barrier Option rebate helper engine. More... |
Finite-Differences Heston barrier option rebate helper engine.