Re: GJR-GARCH option pricing engine

Posted by Luigi Ballabio on Mar 13, 2008; 10:52am
URL: http://quantlib.414.s1.nabble.com/GJR-GARCH-option-pricing-engine-tp11799p11807.html

On Tue, 2008-03-11 at 16:39 -0700, Yee Man Chan wrote:
> Attached is my gjrgarchprocess.hpp. Basically I just
> modified hestonprocess.hpp to suit my needs.

Yee Man,
        thanks for the contribution. I'll try and have a look at it as soon as
I get some time.

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

It's LaTeX formulas. If you're not familiar with LaTeX, send me the
formulas in some format and I'll write the LaTeX code.

> Also, any comments and questions are welcome.

It would be nice to have a test case exercising your process. May you
write one? Or at least, do you have an example of input data and their
expected output?

Luigi


--

Discontent is the first necessity of progress.
-- Thomas A. Edison



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