Re: [Quantlib-users] Pricing American option in Bates model

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

Hi

You have to use the PIDE engine FdBatesVanillaEngine to price American options under the Bates model. This engines solve the partial integro differential equation and hence is slow, so unless you have a really computer at hand and spend some time on parallelization IMO it might be too slow for calibrate purposes.  

best regards
Klaus

On Donnerstag, 11. April 2024 00:30:06 CEST Po TheBigFatPanda wrote:
> Hello QL users,
> 
> I am new to QuantLib. I am trying to calibrate equity vol surface with
> short maturity american options. I am considering the Bates model. Is there
> any existing implementation in QL that can price American options under
> Bates or similar model (stochastic vol + jump)?
> 
> Thanks,
> Po
> 
> P.S. Huge thanks to Luigi and all other contributors. Kudos!
>