Price a forward with continuous dividend?

[Student T]

Hi,

I am looking at the code in forward.cpp on how a forward can be priced with continuous dividend. The formula is like this:

but the code is like this in forward.cpp:

This formula is the discrete implementation. Can the simple continuous version be priced?

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[Luigi Ballabio]

I don't think so. You might try inheriting from the Forward class and overriding the calculation.

Luigi

On Fri, Oct 23, 2015 at 5:48 AM Ted Wong <[hidden email]> wrote:

Hi,

I am looking at the code in forward.cpp on how a forward can be priced with continuous dividend. The formula is like this:

but the code is like this in forward.cpp:

This formula is the discrete implementation. Can the simple continuous version be priced?

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