Files | |
file | analyticvariancegammaengine.hpp |
Analytic Variance Gamma option engine for vanilla options. | |
file | fftengine.hpp |
base class for FFT option pricing engines | |
file | fftvanillaengine.hpp |
FFT engine for vanilla options under a Black Scholes process. | |
file | fftvariancegammaengine.hpp |
FFT engine for vanilla options under a Variance Gamma process. | |
file | variancegammamodel.hpp |
Variance Gamma model. | |
file | variancegammaprocess.hpp |
Variance Gamma stochastic process. | |