ql/pricingengines/vanilla/jumpdiffusionengine.hpp File Reference

Jump diffusion (Merton 1976) engine. More...

#include <ql/instruments/vanillaoption.hpp>
#include <ql/processes/merton76process.hpp>
Include dependency graph for jumpdiffusionengine.hpp:

Classes

class  JumpDiffusionEngine
 Jump-diffusion engine for vanilla options. More...

Detailed Description

Jump diffusion (Merton 1976) engine.