StochasticProcess1D example

Posted by slera on Oct 26, 2016; 1:26am
URL: http://quantlib.414.s1.nabble.com/StochasticProcess1D-example-tp17823.html


I need to price an American option on an underlying that follows a rather uncommon stochastic process. To this end, I want to use the StochasticProcess1D class, for which I can specify directly the drift and volatility as a function of the underlying. I have been looking for examples with StochasticProcess1D but I could not find any. Can someone provide me with an example? An example using the Python interface and with a PDE pricing engine would be preferred.

Thanks in advance!
Sandro


PS: I have also posted the question here:
http://quant.stackexchange.com/questions/30659/quantlib-stochasticprocess1d-example?noredirect=1#comment41719_30659