Barone-Adesi and Whaley pricing engine for American options (1987) More...
#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) |
Barone-Adesi and Whaley pricing engine for American options (1987)