Analytic Variance Gamma option engine for vanilla options. More...
#include <ql/instruments/vanillaoption.hpp>#include <ql/experimental/variancegamma/variancegammaprocess.hpp>
Classes | |
| class | VarianceGammaEngine |
| Variance Gamma Pricing engine for European vanilla options using integral approach. More... | |
Analytic Variance Gamma option engine for vanilla options.