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Black-Scholes Process required in MCHimalayanEngine

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Black-Scholes Process required in MCHimalayanEngine

Andreas Spengler-2
47 posts
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



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Re: [Quantlib-dev] Black-Scholes Process required in MCHimalayanEngine

Marcin Pawlik
14 posts
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.

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