baroneadesiwhaleyengine.hpp

Langue: en

Autres versions - même langue

Version: 375141 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/pricingengines/vanilla/baroneadesiwhaleyengine.hpp -

Barone-Adesi and Whaley approximation engine.

SYNOPSIS


#include <ql/instruments/vanillaoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>

Classes


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

Detailed Description

Barone-Adesi and Whaley approximation engine.

Author

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