Re: 答复: Binomial American Options with Discrete Dividends & Greeks

Posted by Luigi Ballabio on Nov 03, 2015; 3:48pm
URL: http://quantlib.414.s1.nabble.com/Binomial-American-Options-with-Discrete-Dividends-Greeks-tp17012p17027.html

In the test suite, https://github.com/lballabio/quantlib/blob/master/QuantLib/test-suite/dividendoption.cpp#L677

The lines from 694 to 725 initialize the option and its market data. Those from 741 to 757 calculates the value and the greeks, and compares the available greeks with those calculated by bumping the data (e.g., to calculate the delta modify thevalue of the underlying, recalculate, and see how much the value has changed; the same approach can be  used for all the other greeks). For an American option, you'll need to specify an American exercise: see line 827.

Luigi

On Tue, Nov 3, 2015 at 11:32 AM jamesquant <[hidden email]> wrote:

Hi. Do you have an example of how to do this?



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