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

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/newbie-question-on-using-MC-to-value-autocall-with-asian-option-feature-tp6821p6826.html

On Thu, 2011-01-27 at 11:50 +0100, Klaus Spanderen wrote:
> you need to set-up a new pricing egine that is derived from
> MCLongstaffSchwartzEngine (see e.g. mcamericanengine.hpp, forget about the
> control variate stuff for the moment).

Do you need Longstaff-Schwartz for an auto-call?  As far as I gather
from the original post, there's no optionality (as in "one can choose
whether to call or not".)  A simple Monte Carlo should be enough.

Luigi


--

The surest way to make a monkey of a man is to quote him.
-- Robert Benchley



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