NAME¶
EquityOption - Example of using QuantLib to value equity options
SYNOPSIS¶
EquityOption
DESCRIPTION¶
EquityOption is an example of using
QuantLib.
For a given set of option parameters, it computes the value of three different
equity options types (with european, bermudan and american exercise features)
using different valuation algorithms.
The calculation methods are Black-Scholes (for european options only),
Barone-Adesi/Whaley (american-only), Bjerksund/Stensland (american), Integral
(european), Finite differences, Binomial Jarrow-Rudd, Binomial
Cox-Ross-Rubinstein, Additive equiprobabilities, Binomial Trigeorgis, Binomial
Tian, Binomial Leisen-Reimer, crude Monte Carlo (european-only) and
Sobol-sequence Monte Carlo (european-only).
SEE ALSO¶
The source code
EquityOption.cpp,
BermudanSwaption(1),
Bonds(1),
CallableBonds(1),
CDS(1),
ConvertibleBonds(1),
DiscreteHedging(1),
FittedBondCurve(1),
FRA(1),
MarketModels(1),
Replication(1),
Repo(1),
SwapValuation(1), the QuantLib
documentation and website at
http://quantlib.org.
AUTHORS¶
The QuantLib Group (see
Authors.txt).
This manual page was added by Dirk Eddelbuettel <edd@debian.org>, the
Debian GNU/Linux maintainer for
QuantLib.
