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).
test the correctness of the returned value is tested by
reproducing results available in literature.
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).
test the correctness of the returned value is tested by reproducing results available in literature.