FD Kluge/extended Ornstein-Uhlenbeck engine for a simple power-gas spread option. More...
#include <ql/pricingengine.hpp>#include <ql/instruments/vanillaoption.hpp>#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>#include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>#include <ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp>#include <ql/experimental/processes/klugeextouprocess.hpp>
FD Kluge/extended Ornstein-Uhlenbeck engine for a simple power-gas spread option.