QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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baroneadesiwhaleyengine.hpp File Reference

Barone-Adesi and Whaley approximation engine. More...

#include <ql/instruments/vanillaoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>

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Classes

class  BaroneAdesiWhaleyApproximationEngine
 Barone-Adesi and Whaley pricing engine for American options (1987) More...
 

Namespaces

namespace  QuantLib
 

Detailed Description

Barone-Adesi and Whaley approximation engine.

Definition in file baroneadesiwhaleyengine.hpp.