- QuantLib
- PerturbativeBarrierOptionEngine
 
perturbative barrier-option engine More...
#include <ql/experimental/barrieroption/perturbativebarrieroptionengine.hpp>

| Public Member Functions | |
| PerturbativeBarrierOptionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Natural order=1, bool zeroGamma=false) | |
| void | calculate () const | 
perturbative barrier-option engine
This engine implements the approach described in <http://www.econ.univpm.it/recchioni/finance/w3/>.