ql/pricingengines/vanilla/baroneadesiwhaleyengine.hpp File Reference

Barone-Adesi and Whaley approximation engine. More...

#include <ql/instruments/vanillaoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
Include dependency graph for baroneadesiwhaleyengine.hpp:

Classes

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

Detailed Description

Barone-Adesi and Whaley approximation engine.