BjerksundStenslandApproximationEngine Class Reference

Bjerksund and Stensland pricing engine for American options (1993) More...

#include <ql/pricingengines/vanilla/bjerksundstenslandengine.hpp>

Inherits VanillaOption::engine.

List of all members.

Public Member Functions

 BjerksundStenslandApproximationEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)
void calculate () const

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:

EquityOption.cpp.