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-tp6821p6828.html

Yes, it is deemed to exercise if strike event happens. Sorry for confusion.

I pass observedDates K1, K2, K3 into pathpricer and discounted from Ki if average(*)>Ki (i=1,2,3)
and I simulate with dense timegrid with timesteps =1 (does 1 means one day?)

0------------****K1-------------****K2----------------****K3

but I am thinking to pass in as fixingDates so along the path only dates relevant will be recorded.

My question is will that affect accuracy or is it totally wrong?

archlight
 

Klaus Spanderen-2 wrote

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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