[Quantlib-users] Quantlib Benchmark: Monte Carlo methods and Finite Difference

[jean-marc m. <jea...@gm...>]

Hello,

I am trying to develop some numerical methods for pricing multi underlying
exotic instruments, either European or American, using what I call "optimal
schemes" techniques.

To benchmark these methods, I integrated new pricers to the QL framework, in
order to compare their performances to their equivalent QL pricers. A first
round of test is available at URL

http://www.crimere.com/Products/Optimal%20Schem%20Project/Investment%20Banking/Technical%20Overview_files/Optimal_Schemes_Results1D.pdf

These first tests concern only one underlying pricing, either european or
american. The multi underlying case is under way, I will update in this
forum as soon as possible.

Do not hesitate to contact me for further informations or questions.

Jean-Marc Mercier