American equity option pricing

[Scott Sinclair-3]

QuantLib developers,
I am relatively new to this community and was looking for some input on how to price an American equity option with both a time dependent interest rate and a time dependent volatility with discrete dividends using a trinomial tree.  Having studied the code a modest amount I believe this is something that can be done without significant code changes to the QuantLib code.  I have read some of the other posts and related articles about including discrete dividends.  Any suggestions about what a correct implementation of this in QuantLib would look like would be much appreciated.  Directions and classes that I could investigate further would also be appreciated.
Scott

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[Luigi Ballabio]

On Sun, 2008-10-12 at 12:49 -0400, Scott Sinclair wrote:
> I am relatively new to this community and was looking for some input
> on how to price an American equity option with both a time dependent
> interest rate and a time dependent volatility with discrete dividends
> using a trinomial tree.

Scott,
        apologies for the delay. As you might have seen, the TrinomialTree
class provides most of the machinery---were it not for discrete
dividends.  They've been mentioned more than once here, but nobody went
and implemented them yet.  Ideally, they would be included in the
generation of the tree, but I'm not familiar with the techniques that
should be used for recombining.  Do you have any idea?

Luigi


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