Q: Option Pricing and SquareRoot Process

Posted by kryp33 on Jan 28, 2009; 2:40pm
URL: http://quantlib.414.s1.nabble.com/Q-Option-Pricing-and-SquareRoot-Process-tp492.html

Hi All,

What is the easiest way to implement the following in QuantLib?

I need to find an option price assuming that the process is defined as dR=SQRT(R)*Sigma*dZ

I found the class SquareRootProcess, but I cannot plug it into example in QuantLib EquityOption,
Since pricing engines there expect that the stochastic process should be derived from class GeneralizedBlackScholesProcess, but SquareRoot process derived from StochasticProcess1D.

Is there any other example that I can use for the task or may be you can point me to the right steps?

Thanks,
Sergey