VarianceGammaEngine Class Reference
Variance Gamma Pricing engine for European vanilla options using integral approach. More...
#include <ql/experimental/variancegamma/analyticvariancegammaengine.hpp>
Inherits VanillaOption::engine.
Public Member Functions | |
VarianceGammaEngine (const boost::shared_ptr< VarianceGammaProcess > &) | |
void | calculate () const |
Detailed Description
Variance Gamma Pricing engine for European vanilla options using integral approach.
- Tests:
- the correctness of the returned values is tested by checking it against known good results.