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

Posted by Klaus Spanderen-2 on
URL: http://quantlib.414.s1.nabble.com/newbie-question-on-using-MC-to-value-autocall-with-asian-option-feature-tp6821p6827.html

Hi

the original posting said something about an Bermudan style feature, therefore
I though it's an autocallable with Issuer/Inverstor call right. Your are
right, if the structure is only an autocallable the simple Monte-Carlo engine
is enough.

Klaus

On Thursday 27 January 2011 12:26:27 Luigi Ballabio wrote:
> 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



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