BjerksundStenslandApproximationEngine Class Reference
[Vanilla option engines]

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

Inheritance diagram for BjerksundStenslandApproximationEngine:

Inheritance graph
[legend]
List of all members.

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.


Public Member Functions

void calculate () const