baroneadesiwhaleyengine.hpp File Reference

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

#include <ql/instruments/vanillaoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>

Go to the source code of this file.

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

Namespaces
namespace	QuantLib

Detailed Description

Barone-Adesi and Whaley approximation engine.

Definition in file baroneadesiwhaleyengine.hpp.