RE: Re[2]: FdDividendAmericanOption doesn't like zero t ime to dividend

[Vadim Ogranovich-3]

> Vadim, why do you want to have a 0 dividend time?
> What is the business reason?


Without 0 dividend time I don't know how to price an option at maket close
(or midnight if you like) on a stock that has an ex-dividend date the next
day.

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[Ravani, Michele]

Hi

what about offsetting the dividend from the last COB price and then forgetting it in the computation (dividend date in a year's time)? Would this give the expected results?

It is some kind of grey zone I suppose, in the sense that in principle, if the market isn't open yet, you still are in yesterday, even if the date has changed. Your decision to use yesterday's price (but then coherently, yesterday's date independently on what the clock says) or to user today's date (but then the supposed today's price, i.e. yesterday's COB less the dividend) is dictated only by what you are doing.
For example, if you are computing yesterday's VaR you would be using the first approach, and if you are computing a fair price for the opening, you would use the second.

Hope this make sense.
QL gurus, please crosscheck what I am babbling above!!

Ciao
  Michele

-----Original Message-----
From: Vadim Ogranovich [mailto:[hidden email]]
Sent: Montag, 23. September 2002 18:08
To: [hidden email]
Subject: RE: Re[2]: [Quantlib-users] FdDividendAmericanOption doesn't
like zero t ime to dividend


> Vadim, why do you want to have a 0 dividend time?
> What is the business reason?


Without 0 dividend time I don't know how to price an option at maket close
(or midnight if you like) on a stock that has an ex-dividend date the next
day.

--------------------------------------------------
DISCLAIMER
This e-mail, and any attachments thereto, is intended only for use by the
addressee(s) named herein and may contain legally privileged and/or
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If you have received this e-mail in error, please immediately notify me and
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E-mail transmission cannot be guaranteed to be secure or error-free.  The
sender therefore does not accept liability for any errors or omissions in
the contents of this message which arise as a result of e-mail transmission.

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 annotations on 09/23/02 19:03:03
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