Man Linux: Main Page and Category List

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.