Quanto Option Pricing Methods

List of valid values:
AnalyticEuropean
Subtype of
Pricing Method

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


AnalyticDividendEuropean
Subtype of
Pricing Method

Corresponds to the QuantLib AnalyticDividendEuropeanEngine.


AnalyticDigitalAmerican
Subtype of
Pricing Method

Minimum required license: Standard
Corresponds to the QuantLib AnalyticDigitalAmericanEngine.


AnalyticBarrier
Subtype of
Pricing Method

Minimum required license: Standard
Corresponds to the QuantLib AnalyticBarrierEngine.


Integral
Subtype of
Pricing Method

Minimum required license: Standard
Corresponds to the QuantLib IntegralEngine.
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


BaroneAdesiWhaleyApprox
Subtype of
Pricing Method

Corresponds to the QuantLib BaroneAdesiWhaleyApproximationEngine.
It uses an approximating semi-analytical formula for pricing american options. Web reference available
here


BjerksundStenslandApprox
Subtype of
Pricing Method

Minimum required license: Standard
Corresponds to the QuantLib BjerksundStenslandApproximationEngine.
It uses an approximating semi-analytical formula for pricing american options. Web reference available
here


JuQuadraticApprox
Subtype of
Pricing Method

Minimum required license: Standard
Corresponds to the QuantLib JuQuadraticApproximationEngine.
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).