Introduction to QuantLib. Part 7: The monte carlo simulation method to price an option with jump
This is the tutorial for the introduction to QuantLib, part 7. In the previous parts of the tutorial, we have already gone through how to price a plain vanilla option in QuantLib in different ways, such as the analytical method and the Monte Carlo simulation method. We also assumed that the underlying stock price movement may follow different processes, such as the Geometric Brownian motion with jump and without jump. What we left is to price the option with jump diffusion modeling using the Monte Carlo simulation. To complete this piece of work, what we will do in this tutorial is to inherit the class from the Black Scholes process, and then add the jump components into the derived class.
The powerpoint in the video: https://drive.google.com/file/d/0B0wk...
Please also support the free calculator app that I wrote in the last Christmas holiday (2020). https://apps.apple.com/us/app/sfx-cal...
Currently the calculator app doesn't have any financial calculation function yet, but I'll consider to implement some financial calculation functions in the future using QuantLib.