Finite Differences extended OU engine for simple storage options. More...
#include <ql/pricingengine.hpp>
#include <ql/instruments/vanillastorageoption.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
Namespaces | |
QuantLib | |
Finite Differences extended OU engine for simple storage options.