Using MC framework for bermudan or american exercise

[Giorgio Pazmandi]

Dear all,
I'm using QL-MonteCarlo framework to price European exotic options (such
asian, lookback ecc) for an important bank.

Can QuantLib MC framework manage American/Bermudan exotic options?
If yes, are there suggestions on the methodology in using MC method for this
kind of exercise?

Regards,
Giorgio

[Luigi Ballabio]

On Fri, 2006-09-29 at 10:56 +0200, Giorgio Pazmandi wrote:
> Can QuantLib MC framework manage American/Bermudan exotic options?
> If yes, are there suggestions on the methodology in using MC method for this
> kind of exercise?

Giorgio,
        recently, Klaus Spanderen has contributed a Longstaff-Schwartz
implementation that might serve as a base for MC pricing of equity
options. It's in CVS if you want to have a look at it, and it will be
included in next release.

Later,
        Luigi


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So little done, so much to do.
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