Analytic engine for American Margrabe option. More...
#include <ql/experimental/exoticoptions/analyticamericanmargrabeengine.hpp>
Public Member Functions | |
AnalyticAmericanMargrabeEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process1, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process2, Real correlation) | |
void | calculate () const |
Additional Inherited Members | |
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MargrabeOption::arguments | arguments_ |
MargrabeOption::results | results_ |
Analytic engine for American Margrabe option.
This class implements formulae from "The Value of an American Option to Exchange One Asset for Another", W. Margrabe, Journal of Finance, 33, 177-86.