European Option Price off when discrete dividends

[Ferghil O'Rourke]

I'm having a problem getting an accurate European option price for
a dividend paying stock. I'm using DividendVanillaOption with
AnalyticDividendEuropeanEngine, passing in the discrete dividend
payments into the DividendVanillaOption ctor. However, I get a
price that is roughly 5% off what I get from two other calculators.
They both give me 5.55 while Quantlib gives 5.28. Can somebody tell
me if I'm using the right classes or if I'm using incorrect parameters?
I suspect the dividend discounting because I usually get accurate
prices for non-dividend paying stocks. Parameter summary as follows.
Thanks.

ExDate = May 16th, 2006
div payment = 0.38
ExDate = August 16th, 2006
div payment = 0.38
ExDate = November 16th, 2006
div payment = 0.38
ExDate = February 16th, 2007
div payment = 0.38
ExDate = May 16th, 2007
div payment = 0.38
ExDate = August 16th, 2007
div payment = 0.38
ExDate = November 16th, 2007
div payment = 0.38
ExDate = February 16th, 2008
div payment = 0.38

European option type = put
Time to maturity = 2.00274
Underlying price = 78.04
Strike = 78.04
Risk-free interest rate = 5.232000 %
Volatility = 18.254690 %

Method                Value                EstimatedError      
Discrepancy        Rel. Discr.
Black-Scholes        5.28243        N/A                0                0

[Luigi Ballabio]

On 03/23/2006 04:03:34 AM, Ferghil O'Rourke wrote:
> I'm having a problem getting an accurate European option price for
> a dividend paying stock.

Ferghil,
        apologies for the delay. May you post some code so that I can  
reproduce the problem?

Later,
        Luigi


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