Re: Quantlib Benchmark: Monte Carlo methods and Finite Difference

[Mark joshi]

Dear Jean-Marc

for 1d American put case, see my paper

The Convergence of Binomial Trees for Pricing the American Put

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1030143

for some benchmarks to beat, and also to see the standard testing methodologies.

regards

Mark

--
Quant Job Interview Questions and Answers is now out: www.markjoshi.com

Assoc Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is www.markjoshi.com

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