#include <ql/pricingengines/vanilla/analyticeuropeanvasicekengine.hpp>
Inherits OneAssetOption::engine.
Public Member Functions | |
AnalyticBlackVasicekEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &, const ext::shared_ptr< Vasicek > &, Real correlation) | |
void | calculate () const |
Pricing of Vanilla European options under stochastic Vasicek interest rate model Analytical solution is based on following research paper:
http://hsrm-mathematik.de/WS201516/master/option-pricing/Black-Scholes-Vasicek-Model.pdf