- QuantLib
- FDEuropeanEngine
Pricing engine for European options using finite-differences. More...
#include <ql/pricingengines/vanilla/fdeuropeanengine.hpp>
Public Member Functions | |
FDEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) |
Pricing engine for European options using finite-differences.