Re: [Quantlib-dev] Open Discussion

[animesh s. <ani...@gm...>]

  Thanks a lot. Just one minor thing I noticed in blackscholesprocess.hpp

             dS(t, S) = (r(t) - q(t) - \frac{\sigma(t, S)^2}{2}) dt
                      + \sigma dW_t.

The above process is not possible, coz you can't have sigma(t,S). The 
above equation is derived only because sigma is constant. It's a bit 
misleading, Can I make the change to the correct version

             dS(t, S) = (r(t) - q(t) - \frac{\sigma^2}{2}) dt
                      + \sigma dW_t

It's a one line change, In the last few lines of my blog I have given 
the proof.

http://quantanalysis.wordpress.com/2010/08/21/

Just read the ending portion. /

/


On 9/2/10 4:37 PM, Kakhkhor Abdijalilov wrote:
> Forwarding...
>
>>   Thanks for your inputs.
>> I observed a pattern in some exotic options. Correct me if I am wrong.
>> Similar to himalayan option, in variance swap engine also we have the
>> following code
>> MCVarianceSwapEngine(
>>              const boost::shared_ptr<GeneralizedBlackScholesProcess>&  process
>>
>> Since most of the engines are specifically using
>> GeneralizedBlackScholesProcess it's impossible to value the option using any
>> other process. Practically a person would like to value the instrument using
>> any possible process. After struggling with Merton76Process for valuing
>> Himalayan option I tried to get my head around with HestonProcess. It wasn't
>> even remotely possible. Yes I could do the same in excel, but again excel
>> can't do 9Million simulations which Quantlib can do in seconds :). That's
>> why I am trying to replace my excel side of modeling with C++ QuantLib!
>>
>> So what I want to try is "make the above dependency more generic". It should
>> be possible in some way. Any inputs from you guys will help a lot.
>>
>> Thanks again,
>> Animesh Saxena
>>
>> (http://quantanalysis.wordpress.com)
>> Ph: (+91)9920098221
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-- 
Regards,
Animesh Saxena

(http://quantanalysis.wordpress.com)
Ph: (+91)9920098221