BjerksundStenslandApproximationEngine Class Reference
[Vanilla option engines]
#include <ql/pricingengines/vanilla/bjerksundstenslandengine.hpp>
Inheritance diagram for BjerksundStenslandApproximationEngine:

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:
Public Member Functions | |
void | calculate () const |