QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
Public Member Functions | List of all members
BjerksundStenslandApproximationEngine Class Reference

Bjerksund and Stensland pricing engine for American options (1993) More...

#include <ql/pricingengines/vanilla/bjerksundstenslandengine.hpp>

Inherits engine.

Public Member Functions

 BjerksundStenslandApproximationEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)
 
void calculate () const
 

Detailed Description

Bjerksund and Stensland pricing engine for American options (1993)

Tests:
the correctness of the returned value is tested by reproducing results available in literature.
Examples:
EquityOption.cpp.