Bjerksund and Stensland pricing engine for American options (1993) More...
#include <ql/pricingengines/vanilla/bjerksundstenslandengine.hpp>
Inherits engine.
Public Member Functions | |
BjerksundStenslandApproximationEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) | |
void | calculate () const |
Bjerksund and Stensland pricing engine for American options (1993)