basketengines

Langue: en

Autres versions - même langue

Version: 379165 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

Basket option engines -

Classes


class MCAmericanPathEngine< RNG >
least-square Monte Carlo engine
class MCAmericanBasketEngine< RNG >
least-square Monte Carlo engine
class MCEuropeanBasketEngine< RNG, S >
Pricing engine for European basket options using Monte Carlo simulation.
class StulzEngine
Pricing engine for 2D European Baskets.

Author

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