Re: Finite Difference Pricing Engine

Posted by Luigi Ballabio-2 on
URL: http://quantlib.414.s1.nabble.com/Finite-Difference-Pricing-Engine-tp2533p2537.html

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