Analytic pricing engine for American vanilla options with digital payoff.
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#include <ql/pricingengines/vanilla/analyticdigitalamericanengine.hpp>
Inherits OneAssetOption::engine.
List of all members.
Detailed Description
Analytic pricing engine for American vanilla options with digital payoff.
- Possible enhancements:
- add more greeks (as of now only delta and rho available)
- Tests:
- the correctness of the returned value in case of cash-or-nothing at-hit digital payoff is tested by reproducing results available in literature.
- the correctness of the returned value in case of asset-or-nothing at-hit digital payoff is tested by reproducing results available in literature.
- the correctness of the returned value in case of cash-or-nothing at-expiry digital payoff is tested by reproducing results available in literature.
- the correctness of the returned value in case of asset-or-nothing at-expiry digital payoff is tested by reproducing results available in literature.
- the correctness of the returned greeks in case of cash-or-nothing at-hit digital payoff is tested by reproducing numerical derivatives.