StochasticProcess1D example

classic Classic list List threaded Threaded
2 messages Options
Reply | Threaded
Open this post in threaded view
|  
Report Content as Inappropriate

StochasticProcess1D example

slera

I need to price an American option on an underlying that follows a rather uncommon stochastic process. To this end, I want to use the StochasticProcess1D class, for which I can specify directly the drift and volatility as a function of the underlying. I have been looking for examples with StochasticProcess1D but I could not find any. Can someone provide me with an example? An example using the Python interface and with a PDE pricing engine would be preferred.

Thanks in advance!
Sandro


PS: I have also posted the question here:
http://quant.stackexchange.com/questions/30659/quantlib-stochasticprocess1d-example?noredirect=1#comment41719_30659
Reply | Threaded
Open this post in threaded view
|  
Report Content as Inappropriate

Re: StochasticProcess1D example

Luigi Ballabio
Hello,
    writing a specific process in Python is not possible. You can write the process in C++ and add it to the Python interfaces.

As for using it in the PDE framework: I don't think that it can translate a generic process into a finite-difference operator automatically (the StochasticProcess interface was designed to use with the Monte Carlo framework instead) so you'll probably be better off writing the operator directly.  Unfortunately, there's not a lot of documentation about either the old or the new framework, except my blog posts (search for "Chapter 8" in <http://www.implementingquantlib.com/p/archive.html>).  You can start from the examples shown there and post here if you get stuck.

Hope this helps,
    Luigi



On Wed, Oct 26, 2016 at 11:51 AM slera <[hidden email]> wrote:

I need to price an American option on an underlying that follows a rather
uncommon stochastic process. To this end, I want to use the
StochasticProcess1D class, for which I can specify directly the drift and
volatility as a function of the underlying. I have been looking for examples
with StochasticProcess1D but I could not find any. Can someone provide me
with an example? An example using the Python interface and with a PDE
pricing engine would be preferred.

Thanks in advance!
Sandro


PS: I have also posted the question here:
http://quant.stackexchange.com/questions/30659/quantlib-stochasticprocess1d-example?noredirect=1#comment41719_30659



--
View this message in context: http://quantlib.10058.n7.nabble.com/StochasticProcess1D-example-tp17823.html
Sent from the quantlib-users mailing list archive at Nabble.com.

------------------------------------------------------------------------------
The Command Line: Reinvented for Modern Developers
Did the resurgence of CLI tooling catch you by surprise?
Reconnect with the command line and become more productive.
Learn the new .NET and ASP.NET CLI. Get your free copy!
http://sdm.link/telerik
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

------------------------------------------------------------------------------
Developer Access Program for Intel Xeon Phi Processors
Access to Intel Xeon Phi processor-based developer platforms.
With one year of Intel Parallel Studio XE.
Training and support from Colfax.
Order your platform today. http://sdm.link/xeonphi
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users
Loading...