#include <stochastic_process.h>
Public Member Functions | |
Option (double strike, double time, double r, int dim, double *So, double *sigma) | |
virtual double | call () |
Protected Attributes | |
const double | strike |
const double | time |
const double | r |
const int | dim |
const double * | So |
const double * | sigma |
RandomNumber * | mc_outcomes |
Option::Option | ( | double | strike, | |
double | time, | |||
double | r, | |||
int | dim, | |||
double * | So, | |||
double * | sigma | |||
) |
virtual double Option::call | ( | ) | [inline, virtual] |
Reimplemented in VanillaOption.
const double Option::strike [protected] |
const double Option::time [protected] |
const double Option::r [protected] |
const int Option::dim [protected] |
const double* Option::So [protected] |
const double* Option::sigma [protected] |
RandomNumber* Option::mc_outcomes [protected] |