baroneadesiwhaleyengine (3) - Linux Manuals

baroneadesiwhaleyengine: Barone-Adesi and Whaley approximation engine.

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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