BaroneAdesiWhaleyApproximationEngine Class Reference
[Vanilla option engines]
#include <ql/pricingengines/vanilla/baroneadesiwhaleyengine.hpp>
Inherits VanillaOption::engine.
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:
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) |