kiyosi

外观

<kiyosi/pricing/engines/vanilla/bjerksund_stensland.hpp> ​

cpp
#include <kiyosi/pricing/engines/vanilla/bjerksund_stensland.hpp>

kiyosi::BjerksundStenslandVanillaEngine ​

cpp
class kiyosi::BjerksundStenslandVanillaEngine

Bjerksund-Stensland (2002) two-step American approximation. Before expiry, calls require a non-negative risk-free rate and puts require a non-negative dividend yield (the interest rate under put-call symmetry). The approximation rejects market inputs whose exercise boundaries do not exceed the strike.

成员 ​

price ​

cpp
Result<double> kiyosi::BjerksundStenslandVanillaEngine::price(const AmericanOption &option, const PricingContext &context) const

Prices an American vanilla option with the two-step approximation. 返回值: Price, a contract or context error, or unsupported_operation for a negative transformed rate or nonphysical exercise boundaries. Use a tree or finite-difference engine for those inputs. Returns invalid_result when the exercise exponent or price cannot be represented reliably.

price_with_greeks ​

cpp
Result<PricingResult> kiyosi::BjerksundStenslandVanillaEngine::price_with_greeks(const AmericanOption &option, const PricingContext &context, GreeksRequest greeks, NumericalShiftSettings settings={}) const

Prices with the explicitly requested Greeks; unavailable measures remain empty.