Monte Carlo engine for Everest options. More...
#include <ql/experimental/exoticoptions/everestoption.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/processes/stochasticprocessarray.hpp>
#include <ql/exercise.hpp>
Classes | |
class | MakeMCEverestEngine< RNG, S > |
Monte Carlo Everest-option engine factory. More... |
Monte Carlo engine for Everest options.