BjerksundStenslandApproximationEngine Class Reference

Bjerksund and Stensland pricing engine for American options (1993) More...

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

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

Detailed Description

Bjerksund and Stensland pricing engine for American options (1993)

Tests

the correctness of the returned value is tested by reproducing results available in literature.