MCApproach

Corresponds to the QuantLib MCEuropean Engine.

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]

Minimum required license:

Corresponds to the QuantLib MCAmerican Engine.

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]

Minimum required license:

Corresponds to the QuantLib MCBarrier Engine.

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]

Minimum required license:

Corresponds to the QuantLib MCDigital Engine.

It uses a Monte Carlo method for pricing american style digital options.

In particular, it uses the Brownian Bridge correction for the barrier found in 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]

Minimum required license:

Corresponds to the QuantLib MCEuropeanGJRGARCH Engine.

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]

Minimum required license:

Corresponds to the QuantLib MCEuropeanHeston Engine.

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]

Minimum required license:

Corresponds to the QuantLib MCHestonHullWhite Engine.

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]