External module "ql/pricingengines/vanilla/bjerksundstenslandengine"

Index

Classes

BjerksundStenslandApproximationEngine

Variables

cumNormalDist

Functions

Variables

Const cumNormalDist

cumNormalDist: CumulativeNormalDistribution = new CumulativeNormalDistribution()

Functions

americanCallApproximation

americanCallApproximation(S: Real, X: Real, rfD: Real, dD: Real, variance: Real): Real

- Defined in ql/pricingengines/vanilla/bjerksundstenslandengine.ts:133
Parameters
- S: Real
- X: Real
- rfD: Real
- dD: Real
- variance: Real
Returns Real

phi

phi(S: Real, gamma: Real, H: Real, I: Real, rT: Real, bT: Real, variance: Real): Real

- Defined in ql/pricingengines/vanilla/bjerksundstenslandengine.ts:119
Parameters
- S: Real
- gamma: Real
- H: Real
- I: Real
- rT: Real
- bT: Real
- variance: Real
Returns Real