BaroneAdesiWhaleyApproximationEngine (3) Linux Manual Page
QuantLib::BaroneAdesiWhaleyApproximationEngine – Barone-Adesi and Whaley pricing engine for American options (1987).
Synopsis
#include <ql/pricingengines/vanilla/baroneadesiwhaleyengine.hpp>Inherits VanillaOption::engine.
Public Member Functions
BaroneAdesiWhaleyApproximationEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)void calculate () const
Static Public Member Functions
static Real criticalPrice (const boost::shared_ptr< StrikedTypePayoff > &payoff, DiscountFactor riskFreeDiscount, DiscountFactor dividendDiscount, Real variance, Real tolerance=1e-6)Detailed Description
Barone-Adesi and Whaley pricing engine for American options (1987). Tests
- the correctness of the returned value is tested by reproducing results available in literature.
Examples:
EquityOption.cpp.