MCEuropeanGJRGARCHEngine (3) Linux Manual Page

ql/pricingengines/vanilla/mceuropeangjrgarchengine.hpp – Monte Carlo GJR-GARCH-model engine for European options.

Synopsis

#include <ql/pricingengines/vanilla/mcvanillaengine.hpp>
#include <ql/processes/gjrgarchprocess.hpp>

Classes

class MCEuropeanGJRGARCHEngine< RNG, S >
Monte Carlo GJR-GARCH-model engine for European options.
class MakeMCEuropeanGJRGARCHEngine< RNG, S >
Monte Carlo GJR-GARCH European engine factory.

Detailed Description

Monte Carlo GJR-GARCH-model engine for European options.

Author

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