Posted by
Adrian O' Neill on
Jun 19, 2006; 7:40pm
URL: http://quantlib.414.s1.nabble.com/American-forward-option-pricing-tp4846p4848.html
Simply by using BlackModel::formula(underlying, strike, volatility, dc)
I did work out how to do the American case though, that was to create the
dividend term structure equal to the yield for the underlying stochastic
process:
Handle<YieldTermStructure> termStructure(termStructure_);
Handle<YieldTermStructure> divStructure(termStructure_);
boost::shared_ptr<BlackScholesProcess> stochasticProcess(new
BlackScholesProcess(
underlyingH,
divStructure,
termStructure,
flatVolTS));
-----Original Message-----
From: Luigi Ballabio [mailto:
[hidden email]]
Sent: 19 June 2006 11:28 AM
To: Adrian O' Neill
Cc:
[hidden email]
Subject: Re: [Quantlib-users] American forward option pricing
On 06/08/2006 10:58:07 PM, Adrian O' Neill wrote:
> I can see how to price a European option on a forward using the
> BlackModel in QuantLib; I was wondering if it is possible to do the
> same for an American option on a forward.
Adrian,
how did you do it for the European?
Later,
Luigi
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Cogito ergo I'm right and you're wrong.
-- Blair Houghton