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

[Klaus S. <kl...@sp...>]

Hi

If for the time being you can set aside the jumps it might be worth looking at 
the Heston finite difference pricing engine, e.g. the test case 
testFdmHestonAmerican() in test-suite/fdheston.cpp ist a good starting point.

regards

 Klaus

On Thursday 19 February 2009 07:04:00 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.
>
> 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?