Quanto_Forward_Start_Option_Pricing_Methods

Corresponds to the QuantLib AnalyticEuropean Engine.

It uses the Black-Scholes analytical formula for pricing european options. Web reference available here

Corresponds to the QuantLib AnalyticDividendEuropean Engine.

Corresponds to the QuantLib AnalyticDigitalAmerican Engine.

Corresponds to the QuantLib AnalyticBarrier Engine.

Corresponds to the QuantLib Integral Engine.

It prices european options through numerical computation of the integral of the payoff function over all possible stock price states at expiry. Web reference available here

Corresponds to the QuantLib BaroneAdesiWhaleyApproximation Engine.

It uses an approximating semi-analytical formula for pricing american options. Web reference available here

Corresponds to the QuantLib BjerksundStenslandApproximation Engine.

It uses an approximating semi-analytical formula for pricing american options. Web reference available here

Corresponds to the QuantLib JuQuadraticApproximation Engine.

It uses an approximating semi-analytical formula for pricing american options. Web reference available here

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).