[R-SIG-Finance] Financial Basket Options

[Dirk Eddelbuettel]

Sorry, I meant to chime in earlier on this. Did any of you look at QuantLib?
AFAICT it has a basketoption class allowing for multiple assets, Monte Carlo
pricers for american and european exercise as well as Stulz (1992) method.  

I often look at the available code via what's in the regression tests, so
here is the header test-suite/basketoption.hpp:

class BasketOptionTest {
  public:
    static void testEuroTwoValues();
    static void testBarraquandThreeValues();
    static void testTavellaValues();
    static void testOneDAmericanValues();
    static void testOddSamples();
    static boost::unit_test_framework::test_suite* suite();
};

My RQuantLib package currently does not wrap basket options, but has a few
other exotics one could take as a stanza.  Building the package is possible
on both Windows and Linux, but somewhat more tedious on the former (as you
need to build QL and Boost first).  My main contributor Dominick has a
tarball with that prebuilt if it is of interest.  If there is interest, we
could add this to RQuantLib.  

Hth, Dirk

-- 
Three out of two people have difficulties with fractions.