American equity option pricing
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American equity option pricing
 
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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 ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: American equity option pricing
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Dear Scott,
I am not really a Quantlib specialist, however I would suggest to use Partial Differential Equation (PDE) based solvers to tackle your problematic. It depends upon your needs (professional, research, scolar ?). The built-in PDE Quantlib solver should be able to answer to your problem. Casewhere, I also developed a PDE solver using a different PDE approach, with or without Quantlib integration, that may be able to answer quite efficiently. Jean-Marc 2008/10/12 Scott Sinclair <[hidden email]>
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Re: [Quantlib-dev] American equity option pricing
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In reply to this post by Scott Sinclair-3
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 -- All generalizations are false, including this one. -- Mark Twain ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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