MCApproach
List of valid values:
MCEuropean
Subtype of Pricing Method
Corresponds to the QuantLib MCEuropeanEngine.
It uses a Monte Carlo method for pricing european options.
For a general discussion on the Monte Carlo approach click here
This method requires the specification of an object of type Model[Simulation]
MCAmerican
Subtype of Pricing Method
Corresponds to the QuantLib MCAmericanEngine.
It uses the Longstaff Schwarz Monte Carlo approach for pricing american options. Web reference available here
For a general discussion on the Monte Carlo approach click here
This method requires the specification of an object of type Model[Simulation]
MCBarrier
Subtype of Pricing Method
Corresponds to the QuantLib MCBarrierEngine.
It uses a Monte Carlo method for pricing barrier options.
For a general discussion on the Monte Carlo approach click here
This method requires the specification of an object of type Model[Simulation]
MCDigital
Subtype of Pricing Method
Corresponds to the QuantLib MCDigitalEngine.
It uses a Monte Carlo method for pricing american style digital options.
In particular, it uses the Brownian Bridge correction for the barrier. Web reference available here
For a general discussion on the Monte Carlo approach click here
This method requires the specification of an object of type Model[Simulation]
MCEuropeanGJRGARCH
Subtype of Pricing Method
Corresponds to the QuantLib MCEuropeanGJRGARCHEngine.
It uses a Monte Carlo GJR-GARCH method for pricing european options.
For a general discussion on the Monte Carlo approach click here
This method requires the specification of an object of type Model[Simulation]
MCEuropeanHeston
Subtype of Pricing Method
Corresponds to the QuantLib MCEuropeanHestonEngine.
It uses a Monte Carlo method to implement the Heston stochastic volatility model for pricing european options.
For a general discussion on the Monte Carlo approach click here
This method requires the specification of an object of type Model[Simulation]
MCHestonHullWhite
Subtype of Pricing Method
Corresponds to the QuantLib MCHestonHullWhiteEngine.
It uses a Monte Carlo method to implement the Heston-Hull&White stochastic volatility and interest rates model for pricing european options.
For a general discussion on the Monte Carlo approach click here
This method requires the specification of an object of type Model[Simulation]