QuantConnect Lean Algorithmic Trading Engine
Methods 


QuantConnect.Securities.Option Namespace : OptionPriceModels Class
OptionPriceModels Class Members

The following tables list the members exposed by OptionPriceModels.

Public Methods
 NameDescription
Public Methodstatic (Shared in Visual Basic) Pricing engine for vanilla options using binomial trees. Additive Equiprobabilities model. QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_f_d_european_engine.html  
Public Methodstatic (Shared in Visual Basic) Barone-Adesi and Whaley pricing engine for American options (1987) QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_barone_adesi_whaley_approximation_engine.html  
Public Methodstatic (Shared in Visual Basic) Pricing engine for vanilla options using binomial trees. Cox-Ross-Rubinstein(CRR) model. QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_f_d_european_engine.html  
Public Methodstatic (Shared in Visual Basic) Pricing engine for vanilla options using binomial trees. Jarrow-Rudd model. QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_f_d_european_engine.html  
Public Methodstatic (Shared in Visual Basic) Pricing engine for vanilla options using binomial trees. Joshi model. QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_f_d_european_engine.html  
Public Methodstatic (Shared in Visual Basic) Pricing engine for vanilla options using binomial trees. Leisen-Reimer model. QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_f_d_european_engine.html  
Public Methodstatic (Shared in Visual Basic) Pricing engine for vanilla options using binomial trees. Tian model. QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_f_d_european_engine.html  
Public Methodstatic (Shared in Visual Basic) Pricing engine for vanilla options using binomial trees. Trigeorgis model. QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_f_d_european_engine.html  
Public Methodstatic (Shared in Visual Basic) Bjerksund and Stensland pricing engine for American options (1993) QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_bjerksund_stensland_approximation_engine.html  
Public Methodstatic (Shared in Visual Basic) Pricing engine for European vanilla options using analytical formulae. QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_analytic_european_engine.html  
Public Methodstatic (Shared in Visual Basic) Pricing engine for European options using finite-differences. QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_f_d_european_engine.html  
Public Methodstatic (Shared in Visual Basic) Pricing engine for European vanilla options using integral approach. QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_integral_engine.html  
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