StulzEngine Class Reference
[Basket option engines]
#include <ql/pricingengines/basket/stulzengine.hpp>
Inheritance diagram for StulzEngine:
Detailed Description
Pricing engine for 2D European Baskets.This class implements formulae from "Options on the Minimum or the Maximum of Two Risky Assets", Rene Stulz, Journal of Financial Ecomomics (1982) 10, 161-185.
- Tests:
- the correctness of the returned value is tested by reproducing results available in literature.
Public Member Functions | |
| StulzEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process1, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process2, Real correlation) | |
| void | calculate () const |