GJR-GARCH model for the stochastic volatility of an asset. More...
#include <ql/models/model.hpp>#include <ql/processes/gjrgarchprocess.hpp>
Classes | |
| class | GJRGARCHModel |
| GJR-GARCH model for the stochastic volatility of an asset. More... | |
GJR-GARCH model for the stochastic volatility of an asset.