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class | VarianceGammaEngine |
| Variance Gamma Pricing engine for European vanilla options using integral approach. More...
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class | FFTEngine |
| Base class for FFT pricing engines for European vanilla options. More...
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class | FFTVanillaEngine |
| FFT Pricing engine vanilla options under a Black Scholes process. More...
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class | FFTVarianceGammaEngine |
| FFT engine for vanilla options under a Variance Gamma process. More...
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class | AnalyticBSMHullWhiteEngine |
| analytic european option pricer including stochastic interest rates More...
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class | AnalyticDigitalAmericanEngine |
| Analytic pricing engine for American vanilla options with digital payoff. More...
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class | AnalyticDigitalAmericanKOEngine |
| Analytic pricing engine for American Knock-out options with digital payoff. More...
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class | AnalyticDividendEuropeanEngine |
| Analytic pricing engine for European options with discrete dividends. More...
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class | AnalyticEuropeanEngine |
| Pricing engine for European vanilla options using analytical formulae. More...
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class | AnalyticH1HWEngine |
| Analytic Heston-Hull-White engine based on the H1-HW approximation. More...
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class | AnalyticHestonEngine |
| analytic Heston-model engine based on Fourier transform More...
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class | AnalyticHestonHullWhiteEngine |
| Analytic Heston engine incl. stochastic interest rates. More...
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class | AnalyticPTDHestonEngine |
| analytic piecewise constant time dependent Heston-model engine More...
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class | BaroneAdesiWhaleyApproximationEngine |
| Barone-Adesi and Whaley pricing engine for American options (1987) More...
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class | BatesEngine |
| Bates model engines based on Fourier transform. More...
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class | BinomialVanillaEngine< T > |
| Pricing engine for vanilla options using binomial trees. More...
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class | BjerksundStenslandApproximationEngine |
| Bjerksund and Stensland pricing engine for American options (1993) More...
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class | COSHestonEngine |
| COS-method Heston engine based on efficient Fourier series expansions. More...
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class | FdBatesVanillaEngine |
| Partial Integro FiniteDifferences Bates Vanilla Option engine. More...
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class | FDBermudanEngine< Scheme > |
| Finite-differences Bermudan engine. More...
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class | FDDividendEngineMerton73< Scheme > |
| Finite-differences pricing engine for dividend options using escowed dividends model. More...
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class | FDDividendEngineShiftScale< Scheme > |
| Finite-differences engine for dividend options using shifted dividends. More...
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class | FDDividendShoutEngine< Scheme > |
| Finite-differences shout engine with dividends. More...
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class | FdHestonHullWhiteVanillaEngine |
| Finite-Differences Heston Hull-White Vanilla Option engine. More...
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class | FDShoutEngine< Scheme > |
| Finite-differences pricing engine for shout vanilla options. More...
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class | FDStepConditionEngine< Scheme > |
| Finite-differences pricing engine for American-style vanilla options. More...
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class | FDVanillaEngine |
| Finite-differences pricing engine for BSM one asset options. More...
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class | HestonExpansionEngine |
| Heston-model engine for European options based on analytic expansions. More...
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class | IntegralEngine |
| Pricing engine for European vanilla options using integral approach. More...
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class | JumpDiffusionEngine |
| Jump-diffusion engine for vanilla options. More...
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class | JuQuadraticApproximationEngine |
| Pricing engine for American options with Ju quadratic approximation. More...
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class | MCAmericanEngine< RNG, S, RNG_Calibration > |
| American Monte Carlo engine. More...
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class | MCDigitalEngine< RNG, S > |
| Pricing engine for digital options using Monte Carlo simulation. More...
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class | MCEuropeanEngine< RNG, S > |
| European option pricing engine using Monte Carlo simulation. More...
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class | MCEuropeanGJRGARCHEngine< RNG, S > |
| Monte Carlo GJR-GARCH-model engine for European options. More...
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class | MCEuropeanHestonEngine< RNG, S, P > |
| Monte Carlo Heston-model engine for European options. More...
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class | MCVanillaEngine< MC, RNG, S, Inst > |
| Pricing engine for vanilla options using Monte Carlo simulation. More...
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