Bjerksund and Stensland approximation engine. More...
#include <ql/instruments/vanillaoption.hpp>#include <ql/processes/blackscholesprocess.hpp>
Classes | |
| class | BjerksundStenslandApproximationEngine |
| Bjerksund and Stensland pricing engine for American options (1993) More... | |
Bjerksund and Stensland approximation engine.