Re: [Quantlib-dev] GJR-GARCH option pricing engine

[Luigi B. <lui...@gm...>]

Hi Yee Man,

On Thu, 2008-03-06 at 17:20 -0800, Yee Man Chan wrote:
>    I recently finished my implementation of
> GJR-GARCH(1,1) option pricing model for European
> options using QMC with Brownian Bridge. 
> 
>    I find that you guys don't have this pricing model.
> Do you mind if I implement this for Quantlib?

I'll be happy if you do.

> If so, how should I proceed?

You can send me the files and I'll add them to the repository.
You should code your model as a pricing engine; if you're not yet
familiar with our pricing framework, you can read chapter 2 at
<http://luigi.ballabio.googlepages.com/qlbook> for an introduction.
Also, it should use the existing facilities for random-number
generation. As an example, you can look at the current MC engine for
European options in <ql/pricingengines/vanilla/mceuropeanengine.hpp>.

Later,
	Luigi


-- 

Every solution breeds new problems. 
-- unknown