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.