BjerksundStenslandApproximationEngine Class Reference

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

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

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

Private Member Functions
OneAssetOption::results	americanCallApproximation (Real S, Real X, Real rfD, Real dD, Real variance) const
OneAssetOption::results	europeanCallResults (Real S, Real X, Real rfD, Real dD, Real variance) const
OneAssetOption::results	immediateExercise (Real S, Real X) const

Private Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_

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.

Definition at line 39 of file bjerksundstenslandengine.hpp.

Constructor & Destructor Documentation

BjerksundStenslandApproximationEngine()

BjerksundStenslandApproximationEngine

(

ext::shared_ptr< GeneralizedBlackScholesProcess >

process

)

Definition at line 113 of file bjerksundstenslandengine.cpp.

Member Function Documentation

calculate()

void calculate ( ) const

override

Definition at line 432 of file bjerksundstenslandengine.cpp.

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americanCallApproximation()

OneAssetOption::results americanCallApproximation ( Real  S, Real  X, Real  rfD, Real  dD, Real  variance  ) const

private

Definition at line 178 of file bjerksundstenslandengine.cpp.

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europeanCallResults()

OneAssetOption::results europeanCallResults ( Real  S, Real  X, Real  rfD, Real  dD, Real  variance  ) const

private

Definition at line 120 of file bjerksundstenslandengine.cpp.

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immediateExercise()

OneAssetOption::results immediateExercise ( Real  S, Real  X  ) const

private

Definition at line 159 of file bjerksundstenslandengine.cpp.

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Member Data Documentation

process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 53 of file bjerksundstenslandengine.hpp.