Posted by
cheng li on
Nov 03, 2015; 10:37am
URL: http://quantlib.414.s1.nabble.com/Quantlib-methods-for-option-pricing-tp17019p17025.html
Hi chandu,
As I see there is no binomial option engine for American option in QL
recently, I think you can't find a direct map for CQG pricing model in QL.
However you can try the FDAmericanEngine as a relative choice. Finite
difference and binomial tree both are lattice based method and often give
similar result.
The using case I think can be found in test-suite folder.
Regards,
Cheng
-----邮件原件-----
发件人: chandu123 [mailto:
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发送时间: 2015年11月2日 19:45
收件人:
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主题: [Quantlib-users] Quantlib methods for option pricing
Hi,
I want to use QuantLib for valuation of CME option symbol LNEF6 C3500, which
QL methods should I use to match the values below?
I need to match values obtained by my trader using CQG which uses a binomial
options model.
LNEF6 C3500 is a European call option on JAN16 natural gas futures with a
3.5 strike. On Sep 23rd 2015, the option price was valued at 0.0745
with a delta of 22.85 and gamma of 0.047. These values were obtained using
the CQG platform by Global Futures
(
http://www.globalfutures.com/index.asp?refid=fscqg)
The parameters are:
double volatility = 0.4251;
double strike = 3.5;
double underlyingPrice = 2.919;
double daysToExpiration = 96.12;
double ir = 0.015; // 1.5% interest rate String optionType = call;
Which QL method can I call to match the option price, delta and gamma?
Thanks,
chandu
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