Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Quantlib-Benchmark-Monte-Carlo-methods-and-Finite-Difference-tp6794p6795.html
On Wed, 2008-07-23 at 00:09 +0200, jean-marc mercier wrote:
> 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
>
> <a href="http://www.crimere.com/Products/Optimal%20Schem%20Project/Investment%">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.
Hi Jean-Marc,
apologies for the delay. I haven't looked at the paper in much detail,
but the results do look interesting. Are you interested in contributing
the code?
Later,
Luigi
--
The doctrine of human equality reposes on this: that there is no man
really clever who has not found that he is stupid.
-- Gilbert K. Chesterson
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