analyticvariancegammaengine.hpp File Reference

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

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

Go to the source code of this file.

Classes
class	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.