Re: GJR-GARCH option pricing engine

Posted by Yee Man Chan on Mar 11, 2008; 11:39pm
URL: http://quantlib.414.s1.nabble.com/GJR-GARCH-option-pricing-engine-tp11799p11806.html

Attached is my gjrgarchprocess.hpp. Basically I just
modified hestonprocess.hpp to suit my needs.

The naming convention of the model parameters follows
the Hull 2005 book.

I am not quite sure what kind of code is within \f[ ].
Can someone tell me?

Also, any comments and questions are welcome.

Thanks
Yee Man

--- Yee Man Chan <[hidden email]> wrote:

> Hi Luigi
>
>    Thanks for your reply. Are you still at Stanford?
> Maybe we can hang out one day.
>
>    I will start coding then. It shouldn't be too
> hard.
> I can just copy the Heston code and change the
> stochastic process for volatility. I also have an
> implementation for analytical approximation of
> GJR-GARCH option pricing model as described in Duan
> 2004 paper.
>
>    Do you guys give out remote CVS access for
> developers? That's what I got for my previous open
> source contribution. If this is not how it works
> here,
> I am ok sending files directly to Luigi.
>
> Have a great day!
> Yee Man
>
>    
>
> --- Luigi Ballabio <[hidden email]> wrote:
>
> > Hi Yee Man,
> >
> > On Thu, 2008-03-06 at 17:20 -0800, Yee Man Chan
> > wrote:
> > >    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?
> >
> > I'll be happy if you do.
> >
> > > If so, how should I proceed?
> >
> > You can send me the files and I'll add them to the
> > repository.
> > You should code your model as a pricing engine; if
> > you're not yet
> > familiar with our pricing framework, you can read
> > chapter 2 at
> > <http://luigi.ballabio.googlepages.com/qlbook> for
> > an introduction.
> > Also, it should use the existing facilities for
> > random-number
> > generation. As an example, you can look at the
> > current MC engine for
> > European options in
> > <ql/pricingengines/vanilla/mceuropeanengine.hpp>.
> >
> > Later,
> > Luigi
> >
> >
> > --
> >
> > Every solution breeds new problems.
> > -- unknown
> >
> >
> >
>
>
>
>      
>

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