Posted by
Xavier.Abulker on
URL: http://quantlib.414.s1.nabble.com/Finite-Difference-Pricing-Engine-tp2533p2535.html
Yes, correct,
This is an analytical approximation and I just needed to change
SingleAssetOption and EuropeanOption this is why I thought it could be a
good quite start and not long to check.
Now the list that Ferdinando proposed yesterday will be certainly more
profitable to the Quantlib project.
Xavier
Luigi Ballabio
<
[hidden email]> To:
[hidden email]
Sent by: cc: Neil P Firth <
[hidden email]>,
[hidden email] [hidden email]
eforge.net Subject: Re: [Quantlib-users] Finite Difference Pricing Engine
21/05/2003 10:40
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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