- QuantLib
- AnalyticGJRGARCHEngine
GJR-GARCH(1,1) engine. More...
#include <ql/pricingengines/vanilla/analyticgjrgarchengine.hpp>
Public Member Functions | |
AnalyticGJRGARCHEngine (const boost::shared_ptr< GJRGARCHModel > &model) | |
void | calculate () const |
GJR-GARCH(1,1) engine.
References:
Jin-Chuan Duan, Genevieve Gauthier, Jean-Guy Simonato, Caroline Sasseville, 2006. Approximating the GJR-GARCH and EGARCH option pricing models analytically Journal of Computational Finance, Volume 9, Number 3, Spring 2006