Posted by
Xavier.Abulker on
URL: http://quantlib.414.s1.nabble.com/Finite-Difference-Pricing-Engine-tp2533p2542.html
Hi Neil,
the finite difference pricers is quite slow if you need an intensive
pricing tool.
That's why I developped an analytical approximation to american options
with discrete and continous dividends.
For example, I've added the Roll, Geske, Whaley method to price American
Call with discrete dividends like it is discribed in Hull 4th P271.
It's quite simple as it changes only few files.
I already proposed to Quantlib user group to share the code but it looks
like it didn't received a lot of interest.
If it's something that's look interesting you could start with my code and
improve it with greeks for example, it shouldn't take more than 10 hours.
Bye
Xavier
Neil P Firth
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[hidden email] Subject: [Quantlib-users] Finite Difference Pricing Engine
eforge.net
20/05/2003 13:49
Hello,
I am looking to get started on some Quantlib development and am looking
for a suitable introductory project. I was thinking about porting some
of the Finite Difference Pricers to the Pricing Engine framework. However,
I have quickly ended up in the depths of FdBsmOption.cpp,
and SingleAssetOption. I am planning on using the FiniteDifferences
namespace as it is currently used in the Pricers. I am going to start
with Single Asset equity style options, then going on to Baskets if
things go well. I am not so interested in the IR or stochastic vol models
at the moment.
Any comments or ideas? If this seems a bit complex for a first project
does anyone have a suggestion for a straightforward enhancement that would
take 10 hours coding, say.
Thanks,
Neil
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Neil Firth
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