jumpdiffusionengine.hpp File Reference

Jump diffusion (Merton 1976) engine. More...

#include <ql/instruments/vanillaoption.hpp>
#include <ql/processes/merton76process.hpp>

Go to the source code of this file.

Classes
class	JumpDiffusionEngine
	Jump-diffusion engine for vanilla options. More...

Namespaces
namespace	QuantLib

Detailed Description

Jump diffusion (Merton 1976) engine.

Definition in file jumpdiffusionengine.hpp.