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analyticvariancegammaengine.hpp File Reference

Analytic Variance Gamma option engine for vanilla options. More...

#include <ql/instruments/vanillaoption.hpp>
#include <ql/experimental/variancegamma/variancegammaprocess.hpp>
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Classes

class  QuantLib::VarianceGammaEngine
 Variance Gamma Pricing engine for European vanilla options using integral approach. More...

Namespaces

namespace  QuantLib

Detailed Description

Analytic Variance Gamma option engine for vanilla options.

Definition in file analyticvariancegammaengine.hpp.


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