ql/pricingengines/vanilla/bjerksundstenslandengine.hpp File Reference

Bjerksund and Stensland approximation engine. More...

#include <ql/instruments/vanillaoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>

Include dependency graph for bjerksundstenslandengine.hpp:


Classes

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

Detailed Description

Bjerksund and Stensland approximation engine.