Quantlib Benchmark: Monte Carlo methods and Finite Difference

Posted by jean-marc mercier on
URL: http://quantlib.414.s1.nabble.com/Quantlib-Benchmark-Monte-Carlo-methods-and-Finite-Difference-tp6794.html

Hello,

I am trying to develop some numerical methods for pricing multi underlying exotic instruments, either European or American, using what I call "optimal schemes" techniques.

To benchmark these methods, I integrated new pricers to the QL framework, in order to compare their performances to their equivalent QL pricers. A first round of test is available at URL

http://www.crimere.com/Products/Optimal%20Schem%20Project/Investment%20Banking/Technical%20Overview_files/Optimal_Schemes_Results1D.pdf

These first tests concern only one underlying pricing, either european or american. The multi underlying case is under way, I will update in this forum as soon as possible.

Do not hesitate to contact me for further informations or questions.

Jean-Marc Mercier

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