ql/experimental/variancegamma/analyticvariancegammaengine.hpp File Reference

Analytic Variance Gamma option engine for vanilla options. More...

#include <ql/instruments/vanillaoption.hpp>
#include <ql/experimental/variancegamma/variancegammaprocess.hpp>
Include dependency graph for analyticvariancegammaengine.hpp:

Classes

class  VarianceGammaEngine
 Variance Gamma Pricing engine for European vanilla options using integral approach. More...

Detailed Description

Analytic Variance Gamma option engine for vanilla options.