pricing Equity Bermudan Option

classic Classic list List threaded Threaded
1 message Options
Reply | Threaded
Open this post in threaded view
|

pricing Equity Bermudan Option

enrico.michelotti
Hi all,
sorry for the, maybe, trivial question.
What is the best Pricing Engine to instantiate (if any)
in order to price an Equity Bermudan (at discrete time) option?

I tried with BinomialVanillaEngine but it doesn't work since it uses only the last date (expiry) as a mandatoryTimes in the TimGrid, forgetting all the previous exercise dates.

Can anybody helps?

Thanks in advance,
Enrico