exoticoptions Directory Reference

Files

file  analyticamericanmargrabeengine.hpp
 Analytic engine for American Margrabe option.
 
file  analyticeuropeanmargrabeengine.hpp
 Analytic engine for European Margrabe option.
 
file  analyticsimplechooserengine.hpp
 Analytic engine for simple chooser option.
 
file  analytictwoassetbarrierengine.hpp
 Analytic engine for barrier option on two assets.
 
file  analyticwriterextensibleoptionengine.hpp
 Analytic engine for writer-extensible options.
 
file  continuousarithmeticasianlevyengine.hpp
 Levy engine for continuous arithmetic Asian options.
 
file  everestoption.hpp
 Everest option on a number of assets.
 
file  himalayaoption.hpp
 Himalaya option on a number of assets.
 
file  kirkspreadoptionengine.hpp
 Kirk approximation for European spread option on futures.
 
file  margrabeoption.hpp
 Margrabe option on two assets.
 
file  mceverestengine.hpp
 Monte Carlo engine for Everest options.
 
file  mchimalayaengine.hpp
 Monte Carlo engine for Himalaya options.
 
file  mcpagodaengine.hpp
 Monte Carlo engine for pagoda options.
 
file  pagodaoption.hpp
 Roofed Asian option on a number of assets.
 
file  simplechooseroption.hpp
 Simple chooser option on a single asset.
 
file  spreadoption.hpp
 Spread option on two assets.
 
file  twoassetbarrieroption.hpp
 Barrier option on two assets.
 
file  writerextensibleoption.hpp
 Writer-extensible option.