BjerksundStenslandApproximationEngine (3) Linux Manual Page
QuantLib::BjerksundStenslandApproximationEngine – Bjerksund and Stensland pricing engine for American options (1993).
Synopsis
#include <ql/pricingengines/vanilla/bjerksundstenslandengine.hpp>Inherits VanillaOption::engine.
Public Member Functions
BjerksundStenslandApproximationEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)void calculate () const
Detailed Description
Bjerksund and Stensland pricing engine for American options (1993). Tests
- the correctness of the returned value is tested by reproducing results available in literature.
Examples:
EquityOption.cpp.