denglizhoubasketengine.hpp File Reference

Deng, Li and Zhou: Closed-Form Approximation for Spread option pricing. More...

#include <ql/instruments/basketoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>

Go to the source code of this file.

Classes
class	DengLiZhouBasketEngine
	Pricing engine for basket option on multiple underlyings. More...

Namespaces
namespace	QuantLib

Detailed Description

Deng, Li and Zhou: Closed-Form Approximation for Spread option pricing.

Definition in file denglizhoubasketengine.hpp.