2
$\begingroup$

Is it possible to price barrier options on a basket of stocks using Quantlib, e.g. a Worst-of Down-and-in-Put on a basket of 3 stocks?

I already checked the MCBarrierEngine (does not support multiple stocks) and the MCEuropeanBasketEngine (does not support barrier options), but without any luck.

$\endgroup$
3
$\begingroup$

There's no such engine at this time. If you want to code it, you can clone and rename the MCEuropeanBasketEngine and the EuropeanMultiPathPricer classes. The new path-pricer class must be modified so that its operator() returns the payoff of your option as calculated on a given path; the new engine will be mostly unmodified, except for the pathPricer method which of course must now return an instance of the new path-pricer class.

$\endgroup$
  • $\begingroup$ ok - I see what I can do :) $\endgroup$ – user625626 Jul 27 '16 at 14:16

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.