Files | |
| file | fd2dblackscholesvanillaengine.hpp |
| Finite-Differences 2 dim Black Scholes vanilla option engine. | |
| file | kirkengine.hpp |
| kirk formulae, due to Kirk (1995) | |
| file | mcamericanbasketengine.hpp |
| Least-square Monte Carlo engines. | |
| file | mceuropeanbasketengine.hpp |
| European basket MC Engine. | |
| file | stulzengine.hpp |
| 2D European Basket formulae, due to Stulz (1982) | |