Hi,
We are trying to calculate price of IBM
European Call Option with discrete dividends.
Here is the data:
Stock Price = 104.5
Strike Price = 100.00
Continuous Rate = 5.00%
Settlement Date = 7 June 2007
(today)
Expiry Date = 4 September
2007
Volatility = 16.362%
Dividend Amount = $0.4
Dividend Date =
4 September 2007 (
This date is same as expiration date)
The price which I calculated using
AnalyticDividendEuropeanEngine is almost two cents lower then that calculated
using AnalyticEuropeanEngine with strike price plus Dividend Amount. If I
change didvidend to zero, I got the same price.
Any reasons?
Thanks,
Sai
On 6/5/07, sai kannekanti <[hidden email]> wrote:
Hi,
Could you please tell me how to calculate zero rate given a yield curve ? What classes can we use in doing so?
Thanks for your time,
Sai Kumar
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