Multi-asset options

Posted by Neil P Firth on
URL: http://quantlib.414.s1.nabble.com/Multi-asset-options-tp2771p2776.html

Hello,

I've checked in a first attempt for the European call on the max basket of
two assets priced in the Stulz (1982) paper. He also has parity results
for the min basket and for the put options. There is a MultiAssetOption
superclass and a BasketOption subclass. The engine is called StulzEngine
and the test cases are in basketoption.cpp in the test suite. I have also
put an Excel spreadsheet on my website:
http://www.maths.ox.ac.uk/~firth/

The obvious next step for me is to replicate these numbers with a Monte
Carlo basket engine. There is a multipath generator, but I don't think it
is in use at the moment. Any advice?

I have yet to create the basket payoff functions that we were dicussing
earlier.

Thanks,

Neil

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  Neil Firth
  Brasenose College Oxford OX1 4AJ United Kingdom
  Office: 01865 280616
  [hidden email]
  http://www.maths.ox.ac.uk/~firth
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