JuQuadraticApproximationEngine (3) - Linux Manuals

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

NAME

QuantLib::JuQuadraticApproximationEngine - Pricing engine for American options with Ju quadratic approximation.

SYNOPSIS

#include <ql/pricingengines/vanilla/juquadraticengine.hpp>

Inherits VanillaOption::engine.

Public Member Functions

JuQuadraticApproximationEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)

void calculate () const

Detailed Description

Pricing engine for American options with Ju quadratic approximation.

Reference: An Approximate Formula for Pricing American Options, Journal of Derivatives Winter 1999, Ju, N.

Warning

Barone-Adesi-Whaley critical commodity price calculation is used, it has not been modified to see whether the method of Ju is faster. Ju does not say how he solves the equation for the critical stock price, e.g. Newton method. He just gives the solution. The method of BAW gives answers to the same accuracy as in Ju (1999).

Tests

the correctness of the returned value is tested by reproducing results available in literature.

Author

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