Longstaff-Schwarz path pricer for early exercise options. More...
#include <ql/methods/montecarlo/longstaffschwartzpathpricer.hpp>
Inheritance diagram for LongstaffSchwartzPathPricer< PathType >:Public Types | |
| typedef EarlyExerciseTraits< PathType >::StateType | StateType |
Public Types inherited from PathPricer< PathType > | |
| typedef PathType | argument_type |
| typedef Real | result_type |
Public Member Functions | |
| LongstaffSchwartzPathPricer (const TimeGrid ×, const ext::shared_ptr< EarlyExercisePathPricer< PathType > > &, const ext::shared_ptr< YieldTermStructure > &termStructure) | |
| Real | operator() (const PathType &path) const |
| virtual void | calibrate () |
| Real | exerciseProbability () const |
Protected Member Functions | |
| virtual void | post_processing (const Size i, const std::vector< StateType > &state, const std::vector< Real > &price, const std::vector< Real > &exercise) |
Protected Attributes | |
| bool | calibrationPhase_ |
| const ext::shared_ptr< EarlyExercisePathPricer< PathType > > | pathPricer_ |
| QuantLib::IncrementalStatistics | exerciseProbability_ |
| boost::scoped_array< Array > | coeff_ |
| boost::scoped_array< DiscountFactor > | dF_ |
| std::vector< PathType > | paths_ |
| const std::vector< ext::function< Real(StateType)> > | v_ |
| const Size | len_ |
Longstaff-Schwarz path pricer for early exercise options.
References:
Francis Longstaff, Eduardo Schwartz, 2001. Valuing American Options by Simulation: A Simple Least-Squares Approach, The Review of Financial Studies, Volume 14, No. 1, 113-147