jumpdiffusionengine.hpp File Reference

Jump diffusion (Merton 1976) engine. More...

Include dependency graph for jumpdiffusionengine.hpp:

Classes

class  JumpDiffusionEngine
 Jump-diffusion engine for vanilla options. More...
 

Namespaces

 QuantLib
 

Detailed Description

Jump diffusion (Merton 1976) engine.