Analytic engine for American Margrabe option. More...
#include <ql/experimental/exoticoptions/margrabeoption.hpp>#include <ql/processes/blackscholesprocess.hpp>
Classes | |
| class | AnalyticAmericanMargrabeEngine |
| Analytic engine for American Margrabe option. More... | |
Analytic engine for American Margrabe option.