BaroneAdesiWhaleyApproximationEngine Class Reference
[Vanilla option engines]

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

Inheritance diagram for BaroneAdesiWhaleyApproximationEngine:

Inheritance graph
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List of all members.

Detailed Description

Barone-Adesi and Whaley pricing engine for American options (1987).

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

EquityOption.cpp.


Public Member Functions

void calculate () const

Static Public Member Functions

static Real criticalPrice (const boost::shared_ptr< StrikedTypePayoff > &payoff, DiscountFactor riskFreeDiscount, DiscountFactor dividendDiscount, Real variance, Real tolerance=1e-6)