EquityOption1

Usage

Overview

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).