variancegamma Directory Reference

Files
file	analyticvariancegammaengine.cpp [code]
file	analyticvariancegammaengine.hpp [code]
	Analytic Variance Gamma option engine for vanilla options.
file	fftengine.cpp [code]
file	fftengine.hpp [code]
	base class for FFT option pricing engines
file	fftvanillaengine.cpp [code]
file	fftvanillaengine.hpp [code]
	FFT engine for vanilla options under a Black Scholes process.
file	fftvariancegammaengine.cpp [code]
file	fftvariancegammaengine.hpp [code]
	FFT engine for vanilla options under a Variance Gamma process.
file	variancegammamodel.cpp [code]
file	variancegammamodel.hpp [code]
	Variance Gamma model.
file	variancegammaprocess.cpp [code]
file	variancegammaprocess.hpp [code]
	Variance Gamma stochastic process.