Barrier option engines
[Pricing engines]
Classes | |
| class | PerturbativeBarrierOptionEngine |
| perturbative barrier-option engine More... | |
| class | FdBlackScholesBarrierEngine |
| Finite-Differences Black Scholes barrier option engine. More... | |
| class | FdBlackScholesRebateEngine |
| Finite-Differences Black Scholes barrier option rebate helper engine. More... | |
| class | FdHestonBarrierEngine |
| Finite-Differences Heston Barrier Option engine. More... | |
| class | FdHestonRebateEngine |
| Finite-Differences Heston Barrier Option rebate helper engine. More... | |
| class | AnalyticBarrierEngine |
| Pricing engine for barrier options using analytical formulae. More... | |
| class | MCBarrierEngine |
| Pricing engine for barrier options using Monte Carlo simulation. More... | |