FFT engine for vanilla options under a Black Scholes process. More...
#include <ql/experimental/variancegamma/fftengine.hpp>#include <ql/processes/blackscholesprocess.hpp>
Classes | |
| class | FFTVanillaEngine |
| FFT Pricing engine vanilla options under a Black Scholes process. More... | |
FFT engine for vanilla options under a Black Scholes process.