analyticdigitalamericanengine (3) - Linux Manuals

analyticdigitalamericanengine: analytic digital American option engine

NAME

ql/pricingengines/vanilla/analyticdigitalamericanengine.hpp - analytic digital American option engine

SYNOPSIS

#include <ql/instruments/vanillaoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>

Classes

class AnalyticDigitalAmericanEngine
Analytic pricing engine for American vanilla options with digital payoff.

Detailed Description

analytic digital American option engine

Author

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