ql/pricingengines/vanilla/mceuropeangjrgarchengine.hpp File Reference

Monte Carlo GJR-GARCH-model engine for European options. More...

#include <ql/pricingengines/vanilla/mcvanillaengine.hpp>
#include <ql/processes/gjrgarchprocess.hpp>
Include dependency graph for mceuropeangjrgarchengine.hpp:

Classes

class  MCEuropeanGJRGARCHEngine< RNG, S >
 Monte Carlo GJR-GARCH-model engine for European options. More...
class  MakeMCEuropeanGJRGARCHEngine< RNG, S >
 Monte Carlo GJR-GARCH European engine factory. More...

Detailed Description

Monte Carlo GJR-GARCH-model engine for European options.