QuantLib_BjerksundStenslandApproximationEngine

BjerksundStenslandApproximationEngine — Bjerksund and Stensland pricing engine for American options (1993)  

Synopsis

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

Inherits engine.

Public Member Functions

BjerksundStenslandApproximationEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)
void calculate () const

Detailed Description

Bjerksund and Stensland pricing engine for American options (1993)

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

The man page BjerksundStenslandApproximationEngine(3) is an alias of QuantLib_BjerksundStenslandApproximationEngine(3).

Wed Aug 2 2017 Version 1.10 QuantLib