variancegamma Directory Reference

Files
file	analyticvariancegammaengine.hpp
	Analytic Variance Gamma option engine for vanilla options.
file	fftengine.hpp
	base class for FFT option pricing engines
file	fftvanillaengine.hpp
	FFT engine for vanilla options under a Black Scholes process.
file	fftvariancegammaengine.hpp
	FFT engine for vanilla options under a Variance Gamma process.
file	variancegammamodel.hpp
	Variance Gamma model.
file	variancegammaprocess.hpp
	Variance Gamma stochastic process.