BaroneAdesiWhaleyApproximationEngine Class Reference

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

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

Public Member Functions
	BaroneAdesiWhaleyApproximationEngine (ext::shared_ptr< GeneralizedBlackScholesProcess >)
void	calculate () const override

Static Public Member Functions
static Real	criticalPrice (const ext::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.