Re: Re: Quantlib-dev digest, Vol 1 #441 - 2 msgs

Posted by Luigi Ballabio on May 05, 2006; 9:22am
URL: http://quantlib.414.s1.nabble.com/Re-Quantlib-dev-digest-Vol-1-441-2-msgs-tp11096p11097.html

On 04/20/2006 10:54:02 PM, [hidden email] wrote:

>
>> My preferred approach  is to model the stock price less the PV of  
>> the dividends and then add dividends  in. This is described in my  
>> book. It has the advantage of being consistent with  the way  
>> European options are valued using Black-Scholes and is widely used  
>> in  practice.
>> John  Hull
>
> This means that what we had previously during early days of  
> development of Convertible Bonds engine was correct.

Theo,
        apologies for the delay. Yes, the idea was correct---but I  
think the implementation was not. However, go ahead and draft an  
implementation.

Later,
        Luigi


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