[Quantlib-dev] Bates Engine for American Options

[uptotibet <db...@ic...>]

Hey Guys - I've looked through the list and was just wondering if anyone has
used the Bates Model to price American Options?  I started down this path
trying to find some connection for GARCH-based option pricing.  After a lot
of meandering around, I realized I don't need "garch" per-se, but some type
of stochastic volatility model.

I want to be able to handle the skews on options more accurately for
portfolio optimizations.  I don't care about arbing this stuff, but I dont
want to get arbed - if that makes sense.


Any thoughts?
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