![]() QuantLib 0.3.7Getting startedReference manual |
McPerformanceOption Class Reference#include <ql/Pricers/mcperformanceoption.hpp>
Inheritance diagram for McPerformanceOption: ![]() Detailed DescriptionPerformance option computed using Monte Carlo simulation.A performance option is a variant of a cliquet option: the payoff of each forward-starting (a.k.a. deferred strike) options is $ max(S/X- 1) $.
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