BaroneAdesiWhaleyApproximationEngine (3) - Linux Manuals

BaroneAdesiWhaleyApproximationEngine: Barone-Adesi and Whaley pricing engine for American options (1987).

NAME

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.

Author

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