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MCApproach

MCEuropean
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]
MCAmerican
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]
MCBarrier
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]
MCDigital
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]
MCEuropeanGJRGARCH
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]
MCEuropeanHeston
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]
MCHestonHullWhite
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]