Monte Carlo GJR-GARCH-model engine for European options. More...
#include <ql/pricingengines/vanilla/mcvanillaengine.hpp>
#include <ql/processes/gjrgarchprocess.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... |
Monte Carlo GJR-GARCH-model engine for European options.