ql/pricingengines/basket/stulzengine.hpp File Reference

2D European Basket formulae, due to Stulz (1982) More...

#include <ql/instruments/basketoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
Include dependency graph for stulzengine.hpp:

Classes

class  StulzEngine
 Pricing engine for 2D European Baskets. More...

Detailed Description

2D European Basket formulae, due to Stulz (1982)