25#ifndef quantlib_bjerkland_stensland_engine_hpp
26#define quantlib_bjerkland_stensland_engine_hpp
53 ext::shared_ptr<GeneralizedBlackScholesProcess>
process_;
Bjerksund and Stensland pricing engine for American options (1993)
void calculate() const override
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
ext::shared_ptr< GeneralizedBlackScholesProcess > process_
Results from single-asset option calculation
LinearInterpolation variance
Vanilla option on a single asset.