#include <qle/pricingengines/baroneadesiwhaleyengine.hpp>
Public Member Functions | |
BaroneAdesiWhaleyApproximationEngine (const boost::shared_ptr< QuantLib::GeneralizedBlackScholesProcess > &) | |
void | calculate () const override |
Barone-Adesi and Whaley pricing engine for American options (1987) This QuantExt class is a copy of the class with the same name in QuantLib v1.14 with the following change
Added handling for put option where early exercise is never optimal