BinomialVanillaEngine (3) - Linux Man Pages
BinomialVanillaEngine: Pricing engine for vanilla options using binomial trees.
QuantLib::BinomialVanillaEngine - Pricing engine for vanilla options using binomial trees.
Public Member Functions
BinomialVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps)
void calculate () const
template<class T> class QuantLib::BinomialVanillaEngine< T >Pricing engine for vanilla options using binomial trees.
- the correctness of the returned values is tested by checking it against analytic results.
- Greeks are not overly accurate. They could be improved by building a tree so that it has three points at the current time. The value would be fetched from the middle one, while the two side points would be used for estimating partial derivatives.
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