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

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

Hi

it is the American feature, which forces you to use PDE solver, which are too slow for calibration purposes. Maybe you can translate the Amercian option problem into a European option problem by calculating effective European vols and calibrate to those?

best regards
Klaus

On Freitag, 12. April 2024 14:30:10 CEST Po TheBigFatPanda wrote:
> 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!
> > >
> >
> >
> >
> >
> >
>