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PerturbativeBarrierOptionEngine

NAME

PerturbativeBarrierOptionEngine −

perturbative barrier-option engine

SYNOPSIS

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

Inherits BarrierOption::engine.

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/.

Author

Generated automatically by Doxygen for QuantLib from the source code.

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