/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ /* Copyright (C) 2004 Neil Firth This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email <quantlib-dev@lists.sf.net>. The license is also available online at <http://quantlib.org/reference/license.html>. This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ /*! \file juquadraticengine.hpp \brief Ju quadratic (1999) approximation engine */ #ifndef quantlib_ju_quadratic_engine_hpp #define quantlib_ju_quadratic_engine_hpp #include <ql/Instruments/vanillaoption.hpp> namespace QuantLib { /*! 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) \ingroup vanillaengines \test the correctness of the returned value is tested by reproducing results available in literature. \bug test fails for Borland compiler */ 00050 class JuQuadraticApproximationEngine : public VanillaOption::engine { public: void calculate() const; }; } #endif

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