QuantLib: a free/open-source library for quantitative finance
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Public Member Functions | Private Attributes | List of all members
JuQuadraticApproximationEngine Class Reference

Pricing engine for American options with Ju quadratic approximation. More...

#include <juquadraticengine.hpp>

+ Inheritance diagram for JuQuadraticApproximationEngine:
+ Collaboration diagram for JuQuadraticApproximationEngine:

Public Member Functions

 JuQuadraticApproximationEngine (ext::shared_ptr< GeneralizedBlackScholesProcess >)
 
void calculate () const override
 

Private Attributes

ext::shared_ptr< GeneralizedBlackScholesProcessprocess_
 

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.

Definition at line 52 of file juquadraticengine.hpp.

Constructor & Destructor Documentation

◆ JuQuadraticApproximationEngine()

Definition at line 38 of file juquadraticengine.cpp.

Member Function Documentation

◆ calculate()

void calculate ( ) const
override

Definition at line 44 of file juquadraticengine.cpp.

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Member Data Documentation

◆ process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_
private

Definition at line 59 of file juquadraticengine.hpp.