Longstaff Schwartz Monte Carlo engine for early exercise options. More...
#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. More... |
Longstaff Schwartz Monte Carlo engine for early exercise options.