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), Replication(1),
       Repo(1), SwapValuation(1), the QuantLib documentation and website at http://quantlib.org.

AUTHORS

       The QuantLib Group (see Authors.txt).

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

QuantLib                                        25 February 2006                                 EQUITYOPTION(1)