Re: newbie question on using MC to value autocall with asian option feature

Posted by archlight on
URL: http://quantlib.414.s1.nabble.com/newbie-question-on-using-MC-to-value-autocall-with-asian-option-feature-tp6821p6822.html

based on my study, I am thinking to extend Longstaff Schwartz MC to have pricer with asian option feature. meanwhile it can price Bermudan option.

can someone enlighten me on this. I am total newbie in quantlib

archlight

archlight wrote

Hi all,

    I am newbie to quantlib. I am learning it by valuing some of product
valuing at our department. I have one equity index derivative with Bermudan,
autocall and asianoption feature embedded. something like

   three kock-out determination day
   K1, K2, K3
   at each knock-out date, payoff is if (average(previous ten days
underlying price)>index, Notional*func(Ki)) where i=1, 2, 3

   I tried to pass Bermudan exercise to DiscreteAveragingAsianOption but it
seems wrong type. I am using Longstaff Schwartz to achieve it. but i am not
sure how to collect previous ten days result into payoff class.

   what is your suggestion!

archlight
Regards

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