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


#include <ql/pricingengines/vanilla/baroneadesiwhaleyengine.hpp>

Inherits 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)


the correctness of the returned value is tested by reproducing results available in literature.

Examples: EquityOption.cpp.


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Referenced By

The man pages BaroneAdesiWhaleyApproximationEngine(3) and criticalPrice(3) are aliases of QuantLib_BaroneAdesiWhaleyApproximationEngine(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib