JuQuadraticApproximationEngine Class Reference

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

#include <ql/pricingengines/vanilla/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< GeneralizedBlackScholesProcess >	process_

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()

JuQuadraticApproximationEngine

(

ext::shared_ptr< GeneralizedBlackScholesProcess >

process

)

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.