RE: American options with discrete dividends.

Posted by cuchulainn on
URL: http://quantlib.414.s1.nabble.com/American-options-with-discrete-dividends-tp3387p3389.html

Another option would be

 

map<Time, double> DividendStructure;

 

or even

 

multimap<Time, double> // means several doubles per each time

 

 

 

---

From: [hidden email] on behalf of [hidden email]
Sent: Tue 02/11/2004 09:49
To: Graham Miller
Cc: [hidden email]; [hidden email]
Subject: Re: [Quantlib-users] American options with discrete dividends.

Graham,
I think you could use something like:

std::vector<Time> dividend;
std::vector<double> divamount;

divdate.push_back(0.00547945205479);
divdate.push_back(0.00821917808219);
                       
divamount.push_back(0.140000);
divamount.push_back(2.4900000);

FdDividendAmericanOption fdAmericanoption(Option::Call, underlyingPrice,strike; 0,zero_rate,maturity,implvol,divamount,divdate,TimeStep,GridPoint);

Xavier
       

Graham Miller <[hidden email]> Sent by: [hidden email] 29/10/2004 23:45

To:        [hidden email]         cc:                 Subject:        [Quantlib-users] American options with discrete dividends.

Hello,
Can anyone direct me to sample code on pricing plain american equity
options with discrete dividends?  All of the code I can find uses
dividend yields...

Thanks.


graham


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