juquadraticengine (3) Linux Manual Page

ql/pricingengines/vanilla/juquadraticengine.hpp – Ju quadratic (1999) approximation engine.

Synopsis

#include <ql/instruments/vanillaoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>

Classes

class JuQuadraticApproximationEngine
Pricing engine for American options with Ju quadratic approximation.

Detailed Description

Ju quadratic (1999) approximation engine.

Author

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