Re: american options via trinomial trees

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/american-options-via-trinomial-trees-tp6966p6967.html

On Fri, 2010-08-27 at 22:10 +0200, Alexander Ratnikov wrote:
> I am trying to use QuantLib to calculate american options premium
> using trinomial trees.
> Unfortunately, I could now find any code snippet that shows this
> technique.

If you mean American equity options, there's no trinomial-tree
implementation.  Pricing using binomial trees, however, is shown in
Examples/EquityOption.  The latter is also available in C# if you
download the QuantLib-SWIG bindings too.

Luigi



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