Re: [Quantlib-dev] Bates Engine for American Options

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

On Wed, 2009-02-18 at 22:04 -0800, uptotibet wrote:
> 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.

Not that I know of.  The pieces might be there, though; you could fit a
Bates process onto a MCLongstaffSchwartzEngine.  You can probably use
MCAmericanEngine as an example of using Longstaff-Schwartz, and
MCEuropeanHestonEngine as an example of using a Heston or Bates process
for building a MonteCarlo.

Luigi


-- 

The purpose of abstraction is not to be vague, but to create a new 
semantic level in which one can be absolutely precise. 
-- W.E. Dijkstra