IntegralHestonVarianceOptionEngine (3) Linux Manual Page

ql/experimental/varianceoption/integralhestonvarianceoptionengine.hpp – integral Heston-model variance-option engine

Synopsis

#include <ql/experimental/varianceoption/varianceoption.hpp>
#include <ql/processes/hestonprocess.hpp>

Classes

class IntegralHestonVarianceOptionEngine
integral Heston-model variance-option engine

Detailed Description

integral Heston-model variance-option engine

Author

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