baroneadesiwhaleyengine(3)
NAME
ql/pricingengines/vanilla/baroneadesiwhaleyengine.hpp – Barone-Adesi and Whaley approximation engine.
SYNOPSIS
#include <ql/instruments/vanillaoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
Classes
class BaroneAdesiWhaleyApproximationEngine
Barone-Adesi and Whaley pricing engine for American options (1987).
Detailed Description
Barone-Adesi and Whaley approximation engine.
Author
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