MCEuropeanHestonEngine (3) Linux Manual Page
NAME
ql/pricingengines/vanilla/mceuropeanhestonengine.hpp – Monte Carlo Heston-model engine for European options.
SYNOPSIS
#include <ql/pricingengines/vanilla/mcvanillaengine.hpp>
#include <ql/processes/hestonprocess.hpp>
Classes
class MCEuropeanHestonEngine< RNG, S >
Monte Carlo Heston-model engine for European options.
class MakeMCEuropeanHestonEngine< RNG, S >
Monte Carlo Heston European engine factory.
Detailed Description
Monte Carlo Heston-model engine for European options.
Author
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