QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Barone-Adesi and Whaley approximation engine. More...
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Classes | |
class | BaroneAdesiWhaleyApproximationEngine |
Barone-Adesi and Whaley pricing engine for American options (1987) More... | |
Namespaces | |
namespace | QuantLib |
Barone-Adesi and Whaley approximation engine.
Definition in file baroneadesiwhaleyengine.hpp.