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ql/experimental/barrieroption/perturbativebarrieroptionengine.hpp

NAME

ql/experimental/barrieroption/perturbativebarrieroptionengine.hpp −

perturbative barrier-option engine

SYNOPSIS

#include <ql/instruments/barrieroption.hpp>
#include <ql/processes/blackscholesprocess.hpp>

Classes

class PerturbativeBarrierOptionEngine
perturbative barrier-option engine

Detailed Description

perturbative barrier-option engine

Author

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