Re: Update version of experimental/mcbasket

Posted by andrea-110 on
URL: http://quantlib.414.s1.nabble.com/Update-version-of-experimental-mcbasket-tp9167p9170.html

On 11/10/09 19:46, Andrea wrote:

> 1) it currently skips all paths that give a non positive exercise value. this because it assumes the
> continuation value will always be positive, and there is no point to accept a negative exercise.
> it might not be the case always and it is hard to dynamically detect this lower bound (0.0). so the
> payoff has a function to return the lower bound of the continuation value or -INF if absent

It is actually possible to dynamically detect what an out of the money option is.
Since we go backward, we just remember what the lowest payoff is, and never exercise if the early
termination value is less or equal to that value.

In this updated version of the mcbasket experimental patch, I've implemented it.
In my (simple) tests it worked properly.

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