Monte Carlo Bates Engine for Pricing Cliquets

[horacio aliaga]

Hi Guys,

 

 Some time ago I asked about the existence of a Bates Monte Carlo engine to price Cliquets. I was told I need to wait until Dec 08. I've being working on that, performing several tests. It looks that it's working fine.

 Do you think is worth sharing my results with you guys?

 Regards,

 

Horacio

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[Luigi Ballabio]

On Tue, 2008-08-05 at 10:29 -0400, horacio aliaga wrote:
>  Some time ago I asked about the existence of a Bates Monte Carlo
> engine to price Cliquets. [...] I've being working on that, performing
> several tests. It looks that it's working fine.
>  Do you think is worth sharing my results with you guys?

Sure, I'll be glad to look at your code.

Luigi


--

Anyone who says he can see through women is missing a lot.
-- Groucho Marx



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[javit]

I would also be interested in your tests. Would you send me a copy too?

Thank you,
[e-mail]

horacio aliaga wrote

Hi Guys,

 Some time ago I asked about the existence of a Bates Monte Carlo engine to
price Cliquets. I was told I need to wait until Dec 08. I've being working
on that, performing several tests. It looks that it's working fine.
 Do you think is worth sharing my results with you guys?
 Regards,

Horacio

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Build the coolest Linux based applications with Moblin SDK & win great prizes
Grand prize is a trip for two to an Open Source event anywhere in the world
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