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.