Pricing American options with multiple spots
Locked
Pricing American options with multiple spots
 
|
Hi all, I am a new user of QuantLib. I am trying to
parse American options using the FDAmericanEngine<CrankNicolson>
Engine. Since this engine use
a grid to price the option I was wondering if I can price my
option with different spots without going through all the
calculations? Thank you for your
help,
------------------------------------------------------------------------------ Rapidly troubleshoot problems before they affect your business. Most IT organizations don't have a clear picture of how application performance affects their revenue. With AppDynamics, you get 100% visibility into your Java,.NET, & PHP application. Start your 15-day FREE TRIAL of AppDynamics Pro! http://pubads.g.doubleclick.net/gampad/clk?id=84349831&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: Pricing American options with multiple spots
|
|
On 23 December 2013 04:14, Amine Tazi Mzaalek <[hidden email]> wrote:
------------------------------------------------------------------------------ Rapidly troubleshoot problems before they affect your business. Most IT organizations don't have a clear picture of how application performance affects their revenue. With AppDynamics, you get 100% visibility into your Java,.NET, & PHP application. Start your 15-day FREE TRIAL of AppDynamics Pro! http://pubads.g.doubleclick.net/gampad/clk?id=84349831&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: Pricing American options with multiple spots
|
|
Hello Peter, Thank you for your response. I can indeed access the SampledCurve but I dont know how to access the price for a specific spot. The .values() function return an array of values but I dont know what they represent either prices or spots ? I would like to know i there is a way knowing the spot access the corresponding price using the grid. Again thank you for your help. Best regards, Amine
------------------------------------------------------------------------------ Rapidly troubleshoot problems before they affect your business. Most IT organizations don't have a clear picture of how application performance affects their revenue. With AppDynamics, you get 100% visibility into your Java,.NET, & PHP application. Start your 15-day FREE TRIAL of AppDynamics Pro! http://pubads.g.doubleclick.net/gampad/clk?id=84349831&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: Pricing American options with multiple spots
|
|
Hello Amine, the values() method returns the prices of the option; the grid() method returns the corresponding spots. Luigi
On Mon, Dec 23, 2013 at 9:46 PM, Amine Tazi Mzaalek <[hidden email]> wrote:
<https://implementingquantlib.blogspot.com> <https://twitter.com/lballabio> ------------------------------------------------------------------------------ Rapidly troubleshoot problems before they affect your business. Most IT organizations don't have a clear picture of how application performance affects their revenue. With AppDynamics, you get 100% visibility into your Java,.NET, & PHP application. Start your 15-day FREE TRIAL of AppDynamics Pro! http://pubads.g.doubleclick.net/gampad/clk?id=84349831&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
| Free forum by Nabble | Edit this page |