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EQUITYOPTION

EQUITYOPTION

Section: User Commands (1) Updated: 25 February 2006 Local index Up
 

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.

 

Index

NAME
SYNOPSIS
DESCRIPTION
SEE ALSO
AUTHORS
This document was created by man2html, using the manual pages.
Time: 21:12:38 GMT, April 16, 2011