BjerksundStenslandApproximationEngine Class Reference
[Vanilla option engines]
#include <ql/PricingEngines/Vanilla/bjerksundstenslandengine.hpp>
Inheritance diagram for BjerksundStenslandApproximationEngine:
[legend]List of all members.
Detailed Description
Pricing engine for American options with Bjerksund and Stensland approximation (1993)
- Tests:
- the correctness of the returned value is tested by reproducing results available in literature.
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Public Member Functions |
void | calculate () const |
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