BaroneAdesiWhaleyApproximationEngine Class Reference

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

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

Inherits VanillaOption::engine.

List of all members.

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.