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Hello,
I'm trying to write a code to price barrier options using local volaility.
After some digging through the code, I found the best way to do this using quantlib is probably using the FDBlackScholesBarrier engine with
barrierOption.setPricingEngine(new FdBlackScholesBarrierEngine(
generalizedBlackScholesProcess, timesteps, spotsteps,
0, FdmSchemeDesc.Douglas(), localvol));
However I see a very significant performance drop by setting localvol=true, already significant at 100 grid points.
Is there a better way to do this? Is there a way to improve the performance here?
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