basket Directory Reference

Files
file	bjerksundstenslandspreadengine.cpp [code]
file	bjerksundstenslandspreadengine.hpp [code]
	Bjerksund and Stensland formulae (2006)
file	choibasketengine.cpp [code]
file	choibasketengine.hpp [code]
	Jaehyuk Choi: Sum of all Black-Scholes-Merton Models.
file	denglizhoubasketengine.cpp [code]
file	denglizhoubasketengine.hpp [code]
	Deng, Li and Zhou: Closed-Form Approximation for Spread option pricing.
file	fd2dblackscholesvanillaengine.cpp [code]
file	fd2dblackscholesvanillaengine.hpp [code]
	Finite-Differences 2 dim Black Scholes vanilla option engine.
file	fdndimblackscholesvanillaengine.cpp [code]
file	fdndimblackscholesvanillaengine.hpp [code]
	Finite-Differences n-dimensional Black-Scholes vanilla option engine.
file	kirkengine.cpp [code]
file	kirkengine.hpp [code]
	kirk formulae, due to Kirk (1995)
file	mcamericanbasketengine.cpp [code]
file	mcamericanbasketengine.hpp [code]
	Least-square Monte Carlo engines.
file	mceuropeanbasketengine.cpp [code]
file	mceuropeanbasketengine.hpp [code]
	European basket MC Engine.
file	operatorsplittingspreadengine.cpp [code]
file	operatorsplittingspreadengine.hpp [code]
	Analytic operator splitting approximation by Chi-Fai Lo (2015)
file	singlefactorbsmbasketengine.cpp [code]
file	singlefactorbsmbasketengine.hpp [code]
	Basket engine where all underlyings are driven by one stochastic factor.
file	spreadblackscholesvanillaengine.cpp [code]
file	spreadblackscholesvanillaengine.hpp [code]
	base class for 2d spread pricing engines using the Black-Scholes model.
file	stulzengine.cpp [code]
file	stulzengine.hpp [code]
	2D European Basket formulae, due to Stulz (1982)
file	vectorbsmprocessextractor.cpp [code]
file	vectorbsmprocessextractor.hpp [code]
	helper class to extract underlying, volatility etc from a vector of processes