analyticcevengine.hpp File Reference

Pricing engine for European vanilla options using a constant elasticity of variance (CEV) model. More...

#include <ql/instruments/vanillaoption.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>

Go to the source code of this file.

Classes
class	CEVCalculator
	constant elasticity of variance process (absorbing boundary at f=0) More...
class	AnalyticCEVEngine

Namespaces
namespace	QuantLib

Detailed Description

Pricing engine for European vanilla options using a constant elasticity of variance (CEV) model.

Definition in file analyticcevengine.hpp.