QdPlusAmericanEngine Class Reference

American engine based on the QD+ approximation to the exercise boundary. More...

#include <ql/pricingengines/vanilla/qdplusamericanengine.hpp>

Public Types
enum	SolverType {   Brent , Newton , Ridder , Halley ,   SuperHalley }

Public Member Functions
	QdPlusAmericanEngine (ext::shared_ptr< GeneralizedBlackScholesProcess >, Size interpolationPoints=8, SolverType solverType=Halley, Real eps=1e-6, Size maxIter=Null< Size >())
std::pair< Size, Real >	putExerciseBoundaryAtTau (Real S, Real K, Rate r, Rate q, Volatility vol, Time T, Time tau) const
ext::shared_ptr< ChebyshevInterpolation >	getPutExerciseBoundary (Real S, Real K, Rate r, Rate q, Volatility vol, Time T) const

Static Public Member Functions
static Real	xMax (Real K, Rate r, Rate q)

Protected Member Functions
Real	calculatePut (Real S, Real K, Rate r, Rate q, Volatility vol, Time T) const override

Detailed Description

American engine based on the QD+ approximation to the exercise boundary.

The main purpose of this engine is to provide a good initial guess to the exercise boundary for the superior fixed point American engine QdFpAmericanEngine

References: Li, M. (2009), “Analytical Approximations for the Critical Stock Prices of American Options: A Performance Comparison,” Working paper, Georgia Institute of Technology.

https://mpra.ub.uni-muenchen.de/15018/1/MPRA_paper_15018.pdf