PerturbativeBarrierOptionEngine Class Reference

perturbative barrier-option engine More...

#include <ql/experimental/barrieroption/perturbativebarrieroptionengine.hpp>

Inheritance diagram for PerturbativeBarrierOptionEngine:

List of all members.

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/>.