JuQuadraticApproximationEngine Class Reference
[Vanilla option engines]
#include <ql/PricingEngines/Vanilla/juquadraticengine.hpp>
Inheritance diagram for JuQuadraticApproximationEngine:
[legend]List of all members.
Detailed Description
Pricing engine for American options with Ju quadratic approximation
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.
- Bug:
- test fails for Borland compiler
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Public Member Functions |
void | calculate () const |
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