ql/pricingengines/vanilla/baroneadesiwhaleyengine.hpp File Reference
Detailed Description
Barone-Adesi and Whaley approximation engine.
#include <ql/instruments/vanillaoption.hpp>
Include dependency graph for baroneadesiwhaleyengine.hpp:

Namespaces | |
namespace | QuantLib |
Classes | |
class | BaroneAdesiWhaleyApproximationEngine |
Barone-Adesi and Whaley pricing engine for American options (1987). More... |