Re: Binomial American Options with Discrete Dividends & Greeks

Posted by Luigi Ballabio on Nov 02, 2015; 8:30am
URL: http://quantlib.414.s1.nabble.com/Binomial-American-Options-with-Discrete-Dividends-Greeks-tp17012p17014.html

Hi James,

    there's no binomial engine for that, but you can use the FDDividendAmericanEngine and DividendVanillaOption classes; see test-suite/dividendoption.cpp for an example. Due to the way the numerical calculation is performed, the engine doesn't provide all the Greeks natively; only delta and gamma. For the others, you'll have to bump the inputs and reprice the option.

Luigi

On Mon, Nov 2, 2015 at 9:57 AM jamesquant <[hidden email]> wrote:

How do I calculate using quantlib Binomial American Options with Discrete
Dividends & Greeks?



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