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EQUITYOPTION(1) General Commands Manual 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 dif- ferent 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), Inte- gral (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), Callable- Bonds(1), CDS(1), ConvertibleBonds(1), DiscreteHedging(1), FittedBond- Curve(1), FRA(1), MarketModels(1), MulticurveBootstrapping(1), Replica- tion(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 De- bian GNU/Linux maintainer for QuantLib. QuantLib 25 February 2006 EQUITYOPTION(1)
NAME | SYNOPSIS | DESCRIPTION | SEE ALSO | AUTHORS
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