Barone-Adesi and Whaley approximation engine. More...
#include <ql/instruments/vanillaoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
Classes | |
class | BaroneAdesiWhaleyApproximationEngine |
Barone-Adesi and Whaley pricing engine for American options (1987) More... |
Barone-Adesi and Whaley approximation engine.