Anyone know if the dividend dates specified to DividendVanillaOption
need to be Monday-Friday dates only? Or does it work this out for
itself? Don't see any handling for it in DividendVanillaOption.cpp
Thanks,
Ferghil
-----Original Message-----
From:
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[mailto:
[hidden email]] On Behalf Of Ferghil
O'Rourke
Sent: Wednesday, March 22, 2006 10:04 PM
To:
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Subject: [Quantlib-users] European Option Price off when discrete dividends
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
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