Posted by
Xavier.Abulker on
URL: http://quantlib.414.s1.nabble.com/Finite-Difference-Pricing-Engine-tp2533p2534.html
Hi Neil,
Bernt Arne Ødegaard gives the Roll-Geske-Whaley and Baron Adesi Whaley call
formula and code as well.
http://finance.bi.no/~bernt/gcc_prog/algoritms/algoritms/node10.htmlhttp://finance.bi.no/~bernt/gcc_prog/algoritms/algoritms/node24.htmlXavier
Neil P Firth
<
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[hidden email] Subject: Re: [Quantlib-users] Finite Difference Pricing Engine
eforge.net
21/05/2003 10:47
Writing a pricing engine for an approximation method for a Vanilla Option
sounds like a good idea. I've got various papers on approximations. I'll
have a look and try some out.
Neil
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Neil Firth
Brasenose College Oxford OX1 4AJ United Kingdom
Office: 01865 280616
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On Wed, 21 May 2003, Luigi Ballabio wrote:
> At 03:11 PM 5/20/03 +0200,
[hidden email] wrote:
> >I also did the Barone Adesi Whaley approximation for continous dividend.
>
> Xavier and Neil,
> just a thought: I guess the above doesn't use the
> finite-differences machinery. In that case, it could already be written
as
> a particular pricing engine that could be used with VanillaOption. This
> could give Neil a bit of practice with the pricing engine framework,
> without throwing him in the middle of the FD mess.
>
> Cheers,
> Luigi
>
>
>
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