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amaggiulli / QLNet

QLNet C# Library
https://amaggiulli.github.io/QLNet/
BSD 3-Clause "New" or "Revised" License
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Question: is it possible to use QLNet for generic MC pricing? #257

Closed akasolace closed 4 years ago

akasolace commented 4 years ago

Let say I have a payoff depending of multiple assets (known volatilities and correlations matrix). Could QLNet be used to price such an option using MC technique? If it is the case, could you point me to a minimal example doing such a pricing?

Thank you

amaggiulli commented 4 years ago

Currently there isn't a sample for multiasset pricing but you can find building blocks here :

MultiAssetOption : https://github.com/amaggiulli/QLNet/blob/develop/src/QLNet/Instruments/MultiAssetOption.cs SpreadOption : https://github.com/amaggiulli/QLNet/blob/develop/src/QLNet/Instruments/SpreadOption.cs Option pricing with MC : https://github.com/amaggiulli/QLNet/blob/549a72d527d986426e01668e03a3ad3817f23cdd/samples/EquityOption/EquityOption.cs#L224

akasolace commented 4 years ago

Thank you