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

Classes | |
class | BaroneAdesiWhaleyApproximationEngine |
Barone-Adesi and Whaley pricing engine for American options (1987). More... |
Detailed Description
Barone-Adesi and Whaley approximation engine.