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juquadraticengine.hpp
Langue: en
Version: 171239 (fedora - 06/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/pricingengines/vanilla/juquadraticengine.hpp - Ju quadratic (1999) approximation engine.SYNOPSIS
#include <ql/instruments/vanillaoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
Classes
class JuQuadraticApproximationEngine
Pricing engine for American options with Ju quadratic approximation.
Detailed Description
Ju quadratic (1999) approximation engine.
Author
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