Login  Register

Re: Use of Calendar in Pricing Engines

Posted by jojogh on Jun 25, 2013; 4:38am
URL: http://quantlib.414.s1.nabble.com/Use-of-Calendar-in-Pricing-Engines-tp14386p14387.html

What is the intra-day pricing. Does it mean the real time pricing?

Ths

Alex Zhang


2013/6/25 Haoyun XU <[hidden email]>
Hi,

I wonder if the trading calendar is used in the numerical pricing engines. For example, we want to price some equity barrier option with discrete dividends using finite difference method. In Black-Scholes constant volatility context, the stock price process goes on even in holidays & weekends. However, these non-tradings days are not eligible for barrier monitoring.

Theoretically, in the finite difference grids, we may need to relax the barrier boundary condition during non-trading days. This also applies to early exercise & other features as well.

For Monte Carlo simulation, these could be handled naturally. Just wonder whether QuantLib takes this into consideration in its implementation for finite difference methods.

Also, I wonder if the pricing engine supports intra-day pricing, which takes into account a fraction of a day.

Many Thanks!

Best,
Henry Xu




------------------------------------------------------------------------------
This SF.net email is sponsored by Windows:

Build for Windows Store.

http://p.sf.net/sfu/windows-dev2dev
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users



------------------------------------------------------------------------------
This SF.net email is sponsored by Windows:

Build for Windows Store.

http://p.sf.net/sfu/windows-dev2dev
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users