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jumpdiffusionengine.hpp File Reference


Detailed Description

Jump diffusion (Merton 1976) engine.

Definition in file jumpdiffusionengine.hpp.

#include <ql/Instruments/vanillaoption.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

class  QuantLib::JumpDiffusionEngine
 Jump-diffusion engine for vanilla options. More...


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