QuantLib_BaroneAdesiWhaleyApproximationEngine

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

Synopsis

#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)

Tests

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

Examples: EquityOption.cpp.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

BaroneAdesiWhaleyApproximationEngine(3) and criticalPrice(3) are aliases of QuantLib_BaroneAdesiWhaleyApproximationEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib