EquityOption - Example of using QuantLib to value equity options
EquityOption
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).
The source code
EquityOption.cpp,
BermudanSwaption(1),
Bonds(1),
CallableBonds(1),
CDS(1),
ConvertibleBonds(1),
DiscreteHedging(1),
FittedBondCurve(1),
FRA(1),
MarketModels(1),
MulticurveBootstrapping(1),
Replication(1),
Repo(1), the
QuantLib documentation and website at
https://www.quantlib.org.
The QuantLib Group (see
Contributors.txt).
This manual page was added by Dirk Eddelbuettel <
[email protected]>, the
Debian GNU/Linux maintainer for
QuantLib.