mcbarrierengine (3) - Linux Manuals

mcbarrierengine: Monte Carlo barrier option engines.

Command to display mcbarrierengine manual in Linux: $ man 3 mcbarrierengine

NAME

ql/pricingengines/barrier/mcbarrierengine.hpp - Monte Carlo barrier option engines.

SYNOPSIS

#include <ql/instruments/barrieroption.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/exercise.hpp>

Classes

class MCBarrierEngine< RNG, S >
Pricing engine for barrier options using Monte Carlo simulation.

Detailed Description

Monte Carlo barrier option engines.

Author

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