Files | |
| file | extendedblackscholesprocess.hpp |
| experimental Black-Scholes-Merton process | |
| file | extendedornsteinuhlenbeckprocess.hpp |
| extended Ornstein-Uhlenbeck process | |
| file | extouwithjumpsprocess.hpp |
| Ornstein Uhlenbeck process plus exp jumps (Kluge Model) | |
| file | gemanroncoroniprocess.hpp |
| Geman-Roncoroni process. | |
| file | klugeextouprocess.hpp |
| joint Kluge process an d Ornstein Uhlenbeck process | |
| file | vegastressedblackscholesprocess.hpp |
| Black-Scholes process which supports local vega stress tests. | |