American forward option pricing
Posted by Adrian O' Neill on Jun 08, 2006; 9:58pm
URL: http://quantlib.414.s1.nabble.com/American-forward-option-pricing-tp4846.html
Hi,
I can see how to price a European option on a forward using the BlackModel
in QuantLib; I was wondering if it is possible to do the same for an
American option on a forward. If anyone could point me at some relevant
classes that would be great.
Thanks,
Adrian