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

[Po T. <pot...@gm...>]

Thank you, Klaus.

Do you suggest sticking with Heston (or some variation of that without the
jump) for calibration purpose?

Btw, I am reading your blog posts on hpcquantlib. Very well written, thank
you!

Regards.

On Fri, Apr 12, 2024 at 1:06 AM Klaus Spanderen <kl...@sp...> wrote:

> 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!
> >
>
>
>
>
>