Vanilla option engines
[Pricing engines]
Classes | |
| class | FdBlackScholesAsianEngine |
| Finite-Differences Black Scholes arithmetic asian option engine. More... | |
| class | FdBlackScholesVanillaEngine |
| Finite-Differences Black Scholes vanilla option engine. More... | |
| class | FdHestonHullWhiteVanillaEngine |
| Finite-Differences Heston Hull-White Vanilla Option engine. More... | |
| class | FdHestonVanillaEngine |
| Finite-Differences Heston Vanilla Option engine. More... | |
| class | AnalyticBSMHullWhiteEngine |
| analytic european option pricer including stochastic interest rates More... | |
| class | AnalyticDigitalAmericanEngine |
| Analytic pricing engine for American vanilla options with digital payoff. More... | |
| class | AnalyticDividendEuropeanEngine |
| Analytic pricing engine for European options with discrete dividends. More... | |
| class | AnalyticEuropeanEngine |
| Pricing engine for European vanilla options using analytical formulae. More... | |
| class | AnalyticGJRGARCHEngine |
| GJR-GARCH(1,1) engine. More... | |
| class | AnalyticHestonEngine |
| analytic Heston-model engine based on Fourier transform More... | |
| class | AnalyticHestonHullWhiteEngine |
| Analytic Heston engine incl. stochastic interest rates. More... | |
| class | BaroneAdesiWhaleyApproximationEngine |
| Barone-Adesi and Whaley pricing engine for American options (1987). More... | |
| class | BatesEngine |
| Bates model engines based on Fourier transform. More... | |
| class | BinomialVanillaEngine |
| Pricing engine for vanilla options using binomial trees. More... | |
| class | BjerksundStenslandApproximationEngine |
| Bjerksund and Stensland pricing engine for American options (1993). More... | |
| class | FDAmericanEngine |
| Finite-differences pricing engine for American one asset options. More... | |
| class | FDBermudanEngine |
| Finite-differences Bermudan engine. More... | |
| class | FDDividendAmericanEngine |
| Finite-differences pricing engine for dividend American options. More... | |
| class | FDDividendEngineMerton73 |
| Finite-differences pricing engine for dividend options using escowed dividends model. More... | |
| class | FDDividendEngineShiftScale |
| Finite-differences engine for dividend options using shifted dividends. More... | |
| class | FDDividendEuropeanEngine |
| Finite-differences pricing engine for dividend European options. More... | |
| class | FDDividendShoutEngine |
| Finite-differences shout engine with dividends. More... | |
| class | FDEuropeanEngine |
| Pricing engine for European options using finite-differences. More... | |
| class | FDShoutEngine |
| Finite-differences pricing engine for shout vanilla options. More... | |
| class | FDStepConditionEngine |
| Finite-differences pricing engine for American-style vanilla options. More... | |
| class | FDVanillaEngine |
| Finite-differences pricing engine for BSM one asset options. More... | |
| class | IntegralEngine |
| Pricing engine for European vanilla options using integral approach. More... | |
| class | JumpDiffusionEngine |
| Jump-diffusion engine for vanilla options. More... | |
| class | JuQuadraticApproximationEngine |
| Pricing engine for American options with Ju quadratic approximation. More... | |
| class | MCAmericanEngine |
| American Monte Carlo engine. More... | |
| class | MCDigitalEngine |
| Pricing engine for digital options using Monte Carlo simulation. More... | |
| class | MCEuropeanEngine |
| European option pricing engine using Monte Carlo simulation. More... | |
| class | MCEuropeanGJRGARCHEngine |
| Monte Carlo GJR-GARCH-model engine for European options. More... | |
| class | MCEuropeanHestonEngine |
| Monte Carlo Heston-model engine for European options. More... | |
| class | MCVanillaEngine |
| Pricing engine for vanilla options using Monte Carlo simulation. More... | |