bjerksundstenslandengine (3) - Linux Manuals

bjerksundstenslandengine: Bjerksund and Stensland approximation engine.

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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