Finite-differences pricing engine for American one asset options. More...
#include <ql/pricingengines/vanilla/fdamericanengine.hpp>
Inherits FDEngineAdapter< base, engine >.
Public Member Functions | |
FDAmericanEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) | |
Finite-differences pricing engine for American one asset options.