- QuantLib
- JuQuadraticApproximationEngine
 
Pricing engine for American options with Ju quadratic approximation. More...
#include <ql/pricingengines/vanilla/juquadraticengine.hpp>
Inherits engine.
| Public Member Functions | |
| JuQuadraticApproximationEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) | |
| void | calculate () const | 
Pricing engine for American options with Ju quadratic approximation.
Reference: An Approximate Formula for Pricing American Options, Journal of Derivatives Winter 1999, Ju, N.