Black-Scholes Process required in MCHimalayanEngine

Posted by Andreas Spengler-2 on Nov 26, 2010; 4:38pm
URL: http://quantlib.414.s1.nabble.com/Black-Scholes-Process-required-in-MCHimalayanEngine-tp6183.html

Hi,

apart from the determination of the risk free rate to discount the final
option payment, is there any reason why the MCHimalayanEngine resp. its
StochasticProcessArray demands the usage of a
(Generalized)BlackScholesProcess-derived class?

I would like to use a GeometricBrownianMotionProcess to model the
underlying indices...

Rgds,

Andreas



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