Re: European Discount from delivery

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/European-Discount-from-delivery-tp4426p4427.html

On 1/25/06, Jason Clarke <[hidden email]> wrote:
> Is there a way to discount a European option to allow for a lag between
> expiration of the option and actual delivery of the underlying settlement?

If I get it right, you mean that one will decide whether to exercise
and if so, the underlying will be delivered after a few days---during
which the price of the underlying could decrease resulting in a loss.
Is this correct?
No, there's no such possibility at this time. How would you go about
implementing it?

Luigi