Least Squares Monte Carlo

[Neil P Firth]

Hi,

I've checked in my first efforts, but got some errors concerning the
changes to VanillaOptionArguments. Are all these changes checked in now?

Another question was about the BAWPricingEngine. What is its status?

Finally, the Binomial PricingEngines don't give me the correct price.
Presumably I haven't set them up correctly, but I can't see what's wrong.

Thanks,
Neil


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  Neil Firth
  Brasenose College Oxford OX1 4AJ United Kingdom
  Office: 01865 280616
  [hidden email]
  http://www.maths.ox.ac.uk/~firth
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[Ferdinando M. Ametrano-2]

Hi Neil

>I've checked in my first efforts, but got some errors concerning the
>changes to VanillaOptionArguments.

Luigi fixed this problem

>Another question was about the BAWPricingEngine. What is its status?

If you mean Barone Adesi Whaley approximation no-one I know of is working on it

>Finally, the Binomial PricingEngines don't give me the correct price.
>Presumably I haven't set them up correctly, but I can't see what's wrong.

mmm... I've never checked Binomial Pricing Engines for American Option,
only for European (as stupid as it is...). Anyway a quick check pricing
American call on a non-dividend paying stock (where the price is the same
of the European equivalent) produces correct results...

While there, why don't you tackle the Finite Difference Pricing Engine for
American ;-)
that is on my to-do list it's 3 months now...

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ciao -- Nando