VanillaOption Class Reference
#include <stochastic_process.h>
Inheritance diagram for VanillaOption:
Public Member Functions | |
| VanillaOption (double strike, double time, double r, double *So, double *sigma) | |
| double | call_MC (int num_samples) |
| double | call_BS () |
| double | call () |
Constructor & Destructor Documentation
| VanillaOption::VanillaOption | ( | double | strike, | |
| double | time, | |||
| double | r, | |||
| double * | So, | |||
| double * | sigma | |||
| ) |
Member Function Documentation
| double VanillaOption::call_MC | ( | int | num_samples | ) |
| double VanillaOption::call_BS | ( | ) |
| double VanillaOption::call | ( | ) | [inline, virtual] |
Reimplemented from Option.
The documentation for this class was generated from the following files:
- include/stochastic_process.h
- src/Options/stochastic_process.cpp
