EquityOption man page

EquityOption — Example of using QuantLib to value equity options


EquityOption is an example of using QuantLib.

For a given set of option parameters, it computes the value of three different equity options types (with european, bermudan and american exercise features) using different valuation algorithms.

The calculation methods are Black-Scholes (for european options only), Barone-Adesi/Whaley (american-only), Bjerksund/Stensland (american), Integral (european), Finite differences, Binomial Jarrow-Rudd, Binomial Cox-Ross-Rubinstein, Additive equiprobabilities, Binomial Trigeorgis, Binomial Tian, Binomial Leisen-Reimer, crude Monte Carlo (european-only) and Sobol-sequence Monte Carlo (european-only).

See Also

The source code EquityOption.cpp, BermudanSwaption(1), Bonds(1), CallableBonds(1), CDS(1), ConvertibleBonds(1), DiscreteHedging(1), FittedBondCurve(1), FRA(1), MarketModels(1), Replication(1), Repo(1), SwapValuation(1), the QuantLib documentation and website at http://quantlib.org.


The QuantLib Group (see Authors.txt).

This manual page was added by Dirk Eddelbuettel <edd@debian.org>, the Debian GNU/Linux maintainer for QuantLib.

Referenced By

BasketLosses(1), BermudanSwaption(1), Bonds(1), CallableBonds(1), CDS(1), ConvertibleBonds(1), CVAIRS(1), DiscreteHedging(1), FittedBondCurve(1), FRA(1), Gaussian1dModels(1), LatentModel(1), MarketModels(1), MultidimIntegral(1), Replication(1), Repo(1), SwapValuation(1).

Explore man page connections for EquityOption(1).

QuantLib 25 February 2006