FFT engine for vanilla options under a Black Scholes process. More...
#include <ql/experimental/variancegamma/fftengine.hpp>
#include <ql/processes/blackscholesprocess.hpp>
Classes | |
class | FFTVanillaEngine |
FFT Pricing engine vanilla options under a Black Scholes process. More... | |
Namespaces | |
QuantLib | |
FFT engine for vanilla options under a Black Scholes process.