FFT engine for vanilla options under a Variance Gamma process. More...
#include <ql/experimental/variancegamma/fftengine.hpp>
#include <ql/experimental/variancegamma/variancegammaprocess.hpp>
Classes | |
class | FFTVarianceGammaEngine |
FFT engine for vanilla options under a Variance Gamma process. More... | |
Namespaces | |
QuantLib | |
FFT engine for vanilla options under a Variance Gamma process.