Bjerksund and Stensland approximation engine. More...
#include <ql/instruments/vanillaoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
Classes | |
class | BjerksundStenslandApproximationEngine |
Bjerksund and Stensland pricing engine for American options (1993) More... |
Bjerksund and Stensland approximation engine.