MCLongstaffSchwartzEngine (3) Linux Manual Page

ql/pricingengines/mclongstaffschwartzengine.hpp – Longstaff Schwartz Monte Carlo engine for early exercise options.

Synopsis

#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/methods/montecarlo/longstaffschwartzpathpricer.hpp>

Classes

class MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S >
Longstaff-Schwarz Monte Carlo engine for early exercise options.

Detailed Description

Longstaff Schwartz Monte Carlo engine for early exercise options.

Author

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