Finite-differences pricing engine for shout vanilla options. More...
#include <ql/pricingengines/vanilla/fdshoutengine.hpp>
Inherits FDEngineAdapter< base, engine >.
Public Member Functions | |
FDShoutEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) | |
Finite-differences pricing engine for shout vanilla options.