----- Forwarded by Xavier ABULKER/BAN/PAR/FIMAT on 14/10/2002 16:45 -----
Xavier ABULKER
To:
[hidden email]
14/10/2002 cc:
16:38 Subject: American Option with discrete dividend
approximation
Hi Quantlib group,
I've tested the perfomance of Option pricing with quantlib and it looks
like we are loosing a lot with the American style and continuous dividend.
for example it took me 0.04 sec to price 1000 European option with discrete
dividend and 9 sec to price 1000 American option with discrete dividend.
I think that we could win a lot using an approximation like Ho, Stapleton,
Subrahmanyam or Bjerksund Stensland.
Has someone already done this job and would like to share it?
Thanks
Xavier
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