QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Pricing engine for American options with Ju quadratic approximation. More...
#include <juquadraticengine.hpp>
Public Member Functions | |
JuQuadraticApproximationEngine (ext::shared_ptr< GeneralizedBlackScholesProcess >) | |
void | calculate () const override |
Private Attributes | |
ext::shared_ptr< GeneralizedBlackScholesProcess > | process_ |
Pricing engine for American options with Ju quadratic approximation.
Reference: An Approximate Formula for Pricing American Options, Journal of Derivatives Winter 1999, Ju, N.
Definition at line 52 of file juquadraticengine.hpp.
JuQuadraticApproximationEngine | ( | ext::shared_ptr< GeneralizedBlackScholesProcess > | process | ) |
Definition at line 38 of file juquadraticengine.cpp.
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override |
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private |
Definition at line 59 of file juquadraticengine.hpp.