Looking for examples using quantlib to price american options with discrete dividends using CRR

[Jon Jiang]

Hi,

 

I’m a desk quant at an options hedge fund in San Francisco. I’m brand new to Quantlib and just overwhelmed by the number of classes/examples in Quantlib. Please help if you know any info about how to use Quantlib to price an American option with discrete dividends using CRR.

 

Thanks in advance for any help/direction!

 

 

Jon

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[Bojan Nikolic]

Hi Jon

"Jon Jiang" <[hidden email]> writes:

> I'm a desk quant at an options hedge fund in San Francisco. I'm brand
> new to Quantlib and just overwhelmed by the number of classes/examples
> in Quantlib. Please help if you know any info about how to use Quantlib
> to price an American option with discrete dividends using CRR.
>
>  
>
> Thanks in advance for any help/direction!

I've posted a simple bare-bones example at:

http://www.bnikolic.co.uk/blog/ql-american-disc-dividend.html

Hope that is helpful.

Best,
Bojan

--
Bojan Nikolic          ||          http://www.bnikolic.co.uk

------------------------------------------------------------------------------
Apps built with the Adobe(R) Flex(R) framework and Flex Builder(TM) are
powering Web 2.0 with engaging, cross-platform capabilities. Quickly and
easily build your RIAs with Flex Builder, the Eclipse(TM)based development
software that enables intelligent coding and step-through debugging.
Download the free 60 day trial. http://p.sf.net/sfu/www-adobe-com
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QuantLib-users mailing list
[hidden email]
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[xnb]

use FDDividendAmericanEngine ,
CRR in Quantlib doesn't support discrete dividend American option pricing.