MCAmericanBasket
Subtype of Pricing MethodCorresponds to the QuantLib MCAmericanBasket Engine.
Least-square engine for American basket options using Monte Carlo simulation.
Warning: This method is intrinsically weak for out-of-the-money options.
Corresponds to the QuantLib MCAmericanBasket Engine.
Least-square engine for American basket options using Monte Carlo simulation.
Warning: This method is intrinsically weak for out-of-the-money options.