bjerksundstenslandapproximationengine(3)

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.

Author

Generated automatically by Doxygen for QuantLib from the source code.