Monte Carlo engine for pagoda options. More...
#include <ql/experimental/exoticoptions/pagodaoption.hpp>#include <ql/pricingengines/mcsimulation.hpp>#include <ql/processes/blackscholesprocess.hpp>#include <ql/processes/stochasticprocessarray.hpp>#include <ql/exercise.hpp>
Classes | |
| class | MCPagodaEngine< RNG, S > |
| Pricing engine for pagoda options using Monte Carlo simulation. More... | |
| class | MakeMCPagodaEngine< RNG, S > |
| Monte Carlo pagoda-option engine factory. More... | |
Monte Carlo engine for pagoda options.