25#ifndef quantlib_barone_adesi_whaley_engine_hpp
26#define quantlib_barone_adesi_whaley_engine_hpp
44 const ext::shared_ptr<StrikedTypePayoff>&
payoff,
48 Real tolerance = 1e-6);
52 ext::shared_ptr<GeneralizedBlackScholesProcess>
process_;
Barone-Adesi and Whaley pricing engine for American options (1987)
static Real criticalPrice(const ext::shared_ptr< StrikedTypePayoff > &payoff, DiscountFactor riskFreeDiscount, DiscountFactor dividendDiscount, Real variance, Real tolerance=1e-6)
void calculate() const override
ext::shared_ptr< GeneralizedBlackScholesProcess > process_
LinearInterpolation variance
Real DiscountFactor
discount factor between dates
ext::shared_ptr< QuantLib::Payoff > payoff
Vanilla option on a single asset.