Re: American options with discrete dividends.
Posted by
Xavier.Abulker on
URL: http://quantlib.414.s1.nabble.com/American-options-with-discrete-dividends-tp3387p3392.html
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
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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