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

[Yee M. C. <ym...@ya...>]

Attached is my gjrgarchprocess.hpp. Basically I just
modified hestonprocess.hpp to suit my needs.

The naming convention of the model parameters follows
the Hull 2005 book. 

I am not quite sure what kind of code is within \f[ ].
Can someone tell me?

Also, any comments and questions are welcome.

Thanks
Yee Man

--- Yee Man Chan <ym...@ya...> wrote:

> Hi Luigi
> 
>    Thanks for your reply. Are you still at Stanford?
> Maybe we can hang out one day.
> 
>    I will start coding then. It shouldn't be too
> hard.
> I can just copy the Heston code and change the
> stochastic process for volatility. I also have an
> implementation for analytical approximation of
> GJR-GARCH option pricing model as described in Duan
> 2004 paper. 
> 
>    Do you guys give out remote CVS access for
> developers? That's what I got for my previous open
> source contribution. If this is not how it works
> here,
> I am ok sending files directly to Luigi.
> 
> Have a great day!
> Yee Man
> 
>    
> 
> --- Luigi Ballabio <lui...@gm...> wrote:
> 
> > 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 
> > 
> > 
> > 
> 
> 
> 
>      
>
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