Posted by
Sachin Kumar on
Aug 07, 2013; 3:05pm
URL: http://quantlib.414.s1.nabble.com/Vanilla-American-Option-Pricing-tp14486.html
Greetings,
Like others here, I'm new to QuantLib. I'm interested in implementing a vanilla american option pricing methodology with QuantLib.
The option will be an OCC listed option, overlying a large company like IBM (may or may not pay discrete dividends, but will not have a continuous dividend yield).
I've reviewed the example found in EquityOption.cpp. Unfortunately, this departs from what I need in the following ways:
1. Assumption of a constant black-scholes volatility term-structure. I understand that using a LocalVolCurve term-structure might be what I'm looking for here, but I'm not sure.
2. Related to (1) is how one goes about implementing their own implied volatility calculation given market data.
3. Time to maturity resolution. I've read on other posts that QuantLib currently doesn't support intraday time, i.e. time to maturity that's less than 1 day. Given that I require this, I suspect I may need to create my own class hierarchy that mirrors the 1-day resolution classes. Is there any other way around this? If not, which classes would I need to mirror and re-implement?
Any insight here is appreciated.
Thanks!
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