Re: Multi-asset options

Posted by Ferdinando M. Ametrano-3 on
URL: http://quantlib.414.s1.nabble.com/Multi-asset-options-tp2771p2777.html

Hi Neil

>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.
I am considering the usage of analytic formulas for max/min call/put,
reserving parity results as validating tests. Any opinion about this approach?

>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?
The old multipath generator (that is multi-asset path generator) is used by
the old QuantLib Pricers, but it has never been used in the new pricing
engine framework.
Besides there should be a new multipath generator along the lines of the
old/new single-asset path generator, but I don't think it has been finished
yet.
I hope to look into this next week.

>I have yet to create the basket payoff functions that we were dicussing
>earlier.
it still escapes me what is wrong with the current Payoff class. I will try
to refactor the two-assets min/max code not using parity results to stress
the Payoff usage, and I'm willing to take a look at which kind of needs
will emerge that require a multi-asset Payoff class.

ciao -- Nando