Re: Variance Gamma implementation in Quantlib?

Posted by Adrian O'Neill on Jul 27, 2010; 12:32pm
URL: http://quantlib.414.s1.nabble.com/Variance-Gamma-implementation-in-Quantlib-tp7471p7474.html

Hi,
For european options, variance gamma pricing using FFT and analytical
methods is implemented in ql/experimental.

Regards
Adrian

On 7/27/10, piers august <[hidden email]> wrote:

>
> Hi All,
>
> Is there such for vanilla options in the Quantlib or plans to add it at
> anytime if not?
>
> I'm aware of this:
> http://www.amazon.com/Option-Pricing-Under-Variance-Process/dp/3639188799
>
> thanks
> Piers
>
>
>

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