Black-Scholes Process required in MCHimalayanEngine

[Andreas Spengler-2]

Hi,

apart from the determination of the risk free rate to discount the final
option payment, is there any reason why the MCHimalayanEngine resp. its
StochasticProcessArray demands the usage of a
(Generalized)BlackScholesProcess-derived class?

I would like to use a GeometricBrownianMotionProcess to model the
underlying indices...

Rgds,

Andreas



------------------------------------------------------------------------------
Increase Visibility of Your 3D Game App & Earn a Chance To Win $500!
Tap into the largest installed PC base & get more eyes on your game by
optimizing for Intel(R) Graphics Technology. Get started today with the
Intel(R) Software Partner Program. Five $500 cash prizes are up for grabs.
http://p.sf.net/sfu/intelisp-dev2dev
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Marcin Pawlik]

On 26 November 2010 17:38, Andreas Spengler <[hidden email]> wrote:

> StochasticProcessArray demands the usage of a
> (Generalized)BlackScholesProcess-derived class?
>
> I would like to use a GeometricBrownianMotionProcess to model the
> underlying indices...

Perhaps you could feed GenBSProc with the following:
 - flat interest rates curve with a rate that suits you (mu + 0.5*sigma^2)
 - flat dividend yield curve with a rate equal to 0
 - BlackConstantVol initiated with your sigma

M.

------------------------------------------------------------------------------
Increase Visibility of Your 3D Game App & Earn a Chance To Win $500!
Tap into the largest installed PC base & get more eyes on your game by
optimizing for Intel(R) Graphics Technology. Get started today with the
Intel(R) Software Partner Program. Five $500 cash prizes are up for grabs.
http://p.sf.net/sfu/intelisp-dev2dev
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users