Monte Carlo engine for pagoda options. More...
#include <ql/experimental/exoticoptions/pagodaoption.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/processes/stochasticprocessarray.hpp>
#include <ql/exercise.hpp>
Classes | |
class | MCPagodaEngine< RNG, S > |
Pricing engine for pagoda options using Monte Carlo simulation. More... | |
class | MakeMCPagodaEngine< RNG, S > |
Monte Carlo pagoda-option engine factory. More... |
Monte Carlo engine for pagoda options.