AnalyticAmericanMargrabeEngine Class Reference
Analytic engine for American Margrabe option. More...
#include <ql/experimental/exoticoptions/analyticamericanmargrabeengine.hpp>
Inheritance diagram for AnalyticAmericanMargrabeEngine:

Public Member Functions | |
AnalyticAmericanMargrabeEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process1, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process2, Real correlation) | |
void | calculate () const |
Detailed Description
Analytic engine for American Margrabe option.
This class implements formulae from "The Value of an American Option to Exchange One Asset for Another", W. Margrabe, Journal of Finance, 33, 177-86.
- Tests:
- the correctness of the returned value is tested by reproducing results available in literature.