analyticdigitalamericanengine(3)
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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