PerturbativeBarrierOptionEngine Class Reference

perturbative barrier-option engine More...

#include <ql/experimental/barrieroption/perturbativebarrieroptionengine.hpp>

Inheritance diagram for PerturbativeBarrierOptionEngine:

Public Member Functions
	PerturbativeBarrierOptionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Natural order=1, bool zeroGamma=false)
void	calculate () const

Additional Inherited Members
Protected Member Functions inherited from BarrierOption::engine
bool	triggered (Real underlying) const
Protected Attributes inherited from GenericEngine< BarrierOption::arguments, BarrierOption::results >
BarrierOption::arguments	arguments_
BarrierOption::results	results_

Detailed Description

perturbative barrier-option engine

This engine implements the approach described in http://www.econ.univpm.it/recchioni/finance/w3/.