bjerksundstenslandengine (3) Linux Manual Page
NAME
ql/pricingengines/vanilla/bjerksundstenslandengine.hpp – Bjerksund and Stensland approximation engine.
SYNOPSIS
#include <ql/instruments/vanillaoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
Classes
class BjerksundStenslandApproximationEngine
Bjerksund and Stensland pricing engine for American options (1993).
Detailed Description
Bjerksund and Stensland approximation engine.
Author
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