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QuantLib::PerturbativeBarrierOptionEngine – perturbative barrier-option engine

Synopsis

#include <ql/experimental/barrieroption/perturbativebarrieroptionengine.hpp>

Inherits QuantLib::BarrierOption::engine.

Public Member Functions

PerturbativeBarrierOptionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Natural order=1, bool zeroGamma=false)

void calculate () const

Detailed Description

perturbative barrier-option engine

This engine implements the approach described in <http://www.econ.univpm.it/recchioni/finance/w3/>.

Author

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