Bug in MCBarrier Pricing Engine + question...

Posted by Toyin Akin on Nov 10, 2005; 10:36pm
URL: http://quantlib.414.s1.nabble.com/bug-report-negative-price-for-an-American-put-option-using-Bjerksund-and-Stensland-approximation-tp4195p4202.html

Hi,

It looks like the rebate variable is not being used within the MCBarrier
pricing class.
You can see this if you price the same option with rebate using the
analytical engine.

Also a question on the test condition used within the MCBarrier pricing
classes.
What's the reasoning between using a different test variable instead of the
one stored within the path object (ie - line 76 of the cpp file).

I notice you also have the BiasedBarrierPathPricer version below this which
has the logic I that I would expect (ie -  line 178 of the cpp file). No
doubt Biased!! ... but why?

Is there a great difference between the two if using a large number of
simulations?

Also, looks like the biased version of the mcbarrier class also has the
missing rebate logic.

Finally, for the test cases where you have the variable 'isOptionActive' set
to false it would probably be a good idea to break out of the loop as the
'asset_price' variable is never used after this point and thus you'll get a
speed increase (ie - line 111 of the cpp file).

Also, if the difference is great between the biased and unbiased variables,
should this new variable also be used as a test condition within the
MCBasket class ( ie - line 64 of the cpp file.)

Best Regards,
Toyin Akin.