BaroneAdesiWhaleyApproximationEngine Class Reference

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

#include <baroneadesiwhaleyengine.hpp>

Inheritance diagram for BaroneAdesiWhaleyApproximationEngine:

Collaboration diagram for BaroneAdesiWhaleyApproximationEngine:

Public Member Functions
	BaroneAdesiWhaleyApproximationEngine (ext::shared_ptr< GeneralizedBlackScholesProcess >)
void	calculate () const override

Static Public Member Functions
static Real	criticalPrice (const ext::shared_ptr< StrikedTypePayoff > &payoff, DiscountFactor riskFreeDiscount, DiscountFactor dividendDiscount, Real variance, Real tolerance=1e-6)

Private Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_

Detailed Description

Barone-Adesi and Whaley pricing engine for American options (1987)

Tests:

the correctness of the returned value is tested by reproducing results available in literature.

Definition at line 39 of file baroneadesiwhaleyengine.hpp.

Constructor & Destructor Documentation

BaroneAdesiWhaleyApproximationEngine()

BaroneAdesiWhaleyApproximationEngine

(

ext::shared_ptr< GeneralizedBlackScholesProcess >

process

)

Definition at line 31 of file baroneadesiwhaleyengine.cpp.

Member Function Documentation

criticalPrice()

Real criticalPrice ( const ext::shared_ptr< StrikedTypePayoff > &  payoff, DiscountFactor  riskFreeDiscount, DiscountFactor  dividendDiscount, Real  variance, Real  tolerance = 1e-6  )

static

Definition at line 39 of file baroneadesiwhaleyengine.cpp.

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calculate()

void calculate ( ) const

override

Definition at line 135 of file baroneadesiwhaleyengine.cpp.

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Member Data Documentation

process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 52 of file baroneadesiwhaleyengine.hpp.