Posted by
Neil P Firth on
URL: http://quantlib.414.s1.nabble.com/Question-on-PathGenerator-tp3287p3298.html
Hi,
I have also been having a look at this lately. As you say, it will
become clearer what to do when we can simulate other processes. I have
implemented gamma and poisson random number generators (from MC Methods in
Financial Engineering - Glasserman), with the aim of simulating Jump
Diffusion and Variance Gamma processes. Hopefully it should be possible to
use the European path pricer, etc, to value Euro options on those
processes. Then we can have a PathGenerator base class and
GBMPathGenerator, Merton76PathGenerator, and VarianceGammaPathGenerator
sub classes.
Storing the drift and diffusion values at each step in the path is going
to have to change for jump processes. Storing the drift and diffusion
values separately makes it easy to do antithetic variates, so that will
need some thought.
Thoughts? Any volunteers to write general test cases for random variates
generated from different distributions (normal, poisson, gamma)?
Neil
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Neil Firth
Brasenose College Oxford OX1 4AJ United Kingdom
Office: 01865 280616
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