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Black's Approximation (American call option with know dividends)

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xnb

Black's Approximation (American call option with know dividends)

This post was updated on .

Hi Quantlib,

Is it possible to apply Black's Approximation (American call option with know dividends) to American put option?

ref:
Hull, John C. (1997). Options, Futures, and Other Derivatives page 299
or
http://majdbakir.com/derivatives/b/black's-approximation.html

Luigi Ballabio

Re: American put pricing with known dividends

Hi,
I'm afraid currently there's no way to do this. You might
consider adding dividends to the binomial-method implementation, in
the DiscretizedVanillaOption class. Once you've done that (which
shouldn't be hard) you'll have to modify the rollback code in order to
print out the values. Let us know if you want to try that (and if you
want to contribute the changes).

Later,
Luigi

On Sun, Dec 30, 2012 at 9:04 AM, xnb <[hidden email]> wrote:

> I am working on American Put option pricing with known dividends,
> and currently want to print *the option values BEFORE and AFTER the time
> when dividends are paid*
>
> I knew Binomial method can do this but Binomial<CRR> in Qunatlib doesn't
> support discrete dividends option pricing...
>
> Any method can be used? any suggestion? Thanks in advance!
>
> example:
> todaysDate = 2012-12-30
> Maturity = 2013-12-30
>
> Dividend Dates = [2013-2-30, 2013-5-30, 2013-8-30, 2013-11-30]
> Dividends = [0, 0.2, 0, 0.2]
>
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/American-put-pricing-with-known-dividends-tp13847.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
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Dan Krop

Re: American put pricing with known dividends

In reply to this post by xnb

Is there some reason you must use the binomial method instead of any of the others? There is an implementation using finite differences already available in the package.

On Sun, Dec 30, 2012 at 3:04 AM, xnb <[hidden email]> wrote:

I am working on American Put option pricing with known dividends,
and currently want to print *the option values BEFORE and AFTER the time
when dividends are paid*

I knew Binomial method can do this but Binomial<CRR> in Qunatlib doesn't
support discrete dividends option pricing...

Any method can be used? any suggestion? Thanks in advance!

example:
todaysDate = 2012-12-30
Maturity = 2013-12-30

Dividend Dates = [2013-2-30, 2013-5-30, 2013-8-30, 2013-11-30]
Dividends = [0, 0.2, 0, 0.2]

--
View this message in context: http://quantlib.10058.n7.nabble.com/American-put-pricing-with-known-dividends-tp13847.html
Sent from the quantlib-users mailing list archive at Nabble.com.

------------------------------------------------------------------------------
Master Visual Studio, SharePoint, SQL, ASP.NET, C# 2012, HTML5, CSS,
MVC, Windows 8 Apps, JavaScript and much more. Keep your skills current
with LearnDevNow - 3,200 step-by-step video tutorials by Microsoft
MVPs and experts. SALE $99.99 this month only -- learn more at:
http://p.sf.net/sfu/learnmore_122412
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