1EQUITYOPTION(1)             General Commands Manual            EQUITYOPTION(1)
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NAME

6       EquityOption - Example of using QuantLib to value equity options
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SYNOPSIS

9       EquityOption
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DESCRIPTION

12       EquityOption is an example of using QuantLib.
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14       For  a  given  set of option parameters, it computes the value of three
15       different equity options types (with european,  bermudan  and  american
16       exercise features) using different valuation algorithms.
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18       The  calculation methods are Black-Scholes (for european options only),
19       Barone-Adesi/Whaley  (american-only),  Bjerksund/Stensland  (american),
20       Integral (european), Finite differences, Binomial Jarrow-Rudd, Binomial
21       Cox-Ross-Rubinstein, Additive equiprobabilities,  Binomial  Trigeorgis,
22       Binomial  Tian,  Binomial  Leisen-Reimer,  crude Monte Carlo (european-
23       only) and Sobol-sequence Monte Carlo (european-only).
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SEE ALSO

27       The  source  code  EquityOption.cpp,   BermudanSwaption(1),   Bonds(1),
28       CallableBonds(1), CDS(1), ConvertibleBonds(1), DiscreteHedging(1), Fit‐
29       tedBondCurve(1), FRA(1),  MarketModels(1),  MulticurveBootstrapping(1),
30       Replication(1),  Repo(1),  the  QuantLib  documentation  and website at
31       http://quantlib.org.
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AUTHORS

35       The QuantLib Group (see Contributors.txt).
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37       This manual page was added by Dirk Eddelbuettel  <edd@debian.org>,  the
38       Debian GNU/Linux maintainer for QuantLib.
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42QuantLib                       25 February 2006                EQUITYOPTION(1)