BjerksundStenslandApproximationEngine Class Reference
[Vanilla option engines]

#include <ql/PricingEngines/Vanilla/bjerksundstenslandengine.hpp>

Inheritance diagram for BjerksundStenslandApproximationEngine:

Inheritance graph
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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.
Examples:

EquityOption.cpp.


Public Member Functions

void calculate () const