gjrgarchmodel.hpp File Reference

GJR-GARCH model for the stochastic volatility of an asset. More...

#include <ql/models/model.hpp>
#include <ql/processes/gjrgarchprocess.hpp>

Go to the source code of this file.

Classes
class	GJRGARCHModel
	GJR-GARCH model for the stochastic volatility of an asset. More...

Namespaces
namespace	QuantLib

Detailed Description

GJR-GARCH model for the stochastic volatility of an asset.

analytical approximation pricing engine for a GJR-GARCH option based on Edgeworth expansion

Definition in file gjrgarchmodel.hpp.