Heston Calibration for American

[nabbleuser2008]

Hi,
 Is there a way to calibrate a heston model to american options using QL ? Has anyone done it.

 Thank you very much.

C

[Klaus Spanderen-2]

Hi

no, at the time being you can't calibrate a heston model to american options
using QL out of the box... and IMHO it isn't an easy task as you can't rely
on semi-analytic pricers.

regards
 Klaus

On Monday 21 July 2008 22:12:45 nabbleuser2008 wrote:

> Hi,
>  Is there a way to calibrate a heston model to american options using QL ?
> Has anyone done it.
>
>  Thank you very much.
>
> C



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[nabbleuser2008]

Hi Klaus, Thanks much for the reply, even though I that is not the reply I was hoping for ;)

I found the following article which talks about an efficient numerical method to price american options using Heston stochastic model.

http://www.mit.jyu.fi/tene/papers/reportB07-05.pdf

Any idea how hard it would be to incorporate it into QL.  Has anyone looked at this method already ?

Thanks a lot.

C