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autocallable options

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autocallable options

Postby dbChris » Fri Jun 24, 2011 12:32 pm

Hi,

I would like to know if you expect to post your code for autocallable options?

Thanks.
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Re: autocallable options

Postby mj » Thu Jun 30, 2011 6:51 am

I am not sure which code you mean. But the answer is probably no.
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Re: autocallable options

Postby dbChris » Thu Jun 30, 2011 9:38 pm

Hi,

I do mean the code in the paper "Conditional Analytic Monte Carlo Pricing Scheme for Auto-Callable Products".

Thanks.

C.
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Re: autocallable options

Postby mj » Fri Jul 01, 2011 1:30 am

we are not planning to post that code.

There is code for the partial proxy method in QuantLib, however.
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Re: autocallable options

Postby dbChris » Fri Jul 01, 2011 7:58 am

Could you, please, tell me what method is used in Quantlib for that?
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