EQUITYOPTION(1)

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), MulticurveBootstrapping(1), Replication(1), Repo(1), the QuantLib documentation and website at https://www.quantlib.org.

AUTHORS
The QuantLib Group (see Contributors.txt).

This manual page was added by Dirk Eddelbuettel <edd@debian.org>, the Debian GNU/Linux maintainer for QuantLib.