BaroneAdesiWhaleyApproximationEngine Class Reference

#include <qle/pricingengines/baroneadesiwhaleyengine.hpp>

Inheritance diagram for BaroneAdesiWhaleyApproximationEngine:

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

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

Detailed Description

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

  Tests:

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