GJR-GARCH option pricing engine
Posted by
Yee Man Chan on
Mar 07, 2008; 1:20am
URL: http://quantlib.414.s1.nabble.com/GJR-GARCH-option-pricing-engine-tp11799.html
Hi
I recently finished my implementation of
GJR-GARCH(1,1) option pricing model for European
options using QMC with Brownian Bridge.
I find that you guys don't have this pricing model.
Do you mind if I implement this for Quantlib? If so,
how should I proceed?
Have a great day!
Yee Man
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