Re: new faster method to price American option with discrete dividends

Posted by Luigi Ballabio-2 on Nov 01, 2002; 5:39am
URL: http://quantlib.414.s1.nabble.com/new-faster-method-to-price-American-option-with-discrete-dividends-tp2291p2292.html

At 2:17 PM +0100 10/31/02, [hidden email] wrote:
>I've added the Roll, Geske, Whaley method to price American Call with
>discrete dividends like it is discribed in Hull 4th P271.

Hi Xavier,
        great. I'll have a look at it.

>Quantlib Admin: is it something you could add in a next release please?

Sure.


Xavier: I had to tame QuantLib in order to deploy it to a customer of
ours which uses Solaris. After applying a few patches, it seems like
it works with gcc now. Can you check it? If you get the current CVS
version and run:

./solaris.setup
./bootstrap
./configure
make
make check

it should compile and pass the tests.

Thanks,
        Luigi