Re: GJR-GARCH option pricing engine

Posted by Yee Man Chan on Mar 13, 2008; 5:08pm
URL: http://quantlib.414.s1.nabble.com/GJR-GARCH-option-pricing-engine-tp11799p11808.html

Hi Luigi

>
> > 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.

Oh I see. I think I will learn a bit of it and write
something out. The formula for the stochastic
volatility process is fairly convoluted when market
price of risk (lambda) is non-zero. I think you can
compare what I write in the cpp file to fix my latex
code in the hpp.

>
> > 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?
>

Of course I am going to write a test case.

Attached is the Duan et al (2006) paper published in
Journal of Computational Finance. It has 1M run Monte
Carlo numbers we can check for the program's validity.

I am going to use QuantLib's QMC/Brownian Bridge code
to do the test case. I hope they don't disappoint. ;)

Yee Man

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

      ____________________________________________________________________________________
Looking for last minute shopping deals?  
Find them fast with Yahoo! Search.  http://tools.search.yahoo.com/newsearch/category.php?category=shopping
-------------------------------------------------------------------------
This SF.net email is sponsored by: Microsoft
Defy all challenges. Microsoft(R) Visual Studio 2008.
http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev