Finite Differences Ornstein Uhlenbeck plus exponential jumps engine for vanilla options. More...
#include <ql/pricingengine.hpp>
#include <ql/instruments/vanillaswingoption.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
Finite Differences Ornstein Uhlenbeck plus exponential jumps engine for vanilla options.
Finite Differences Black-Scholes engine for simple swing options.