Discrete Dividends on Finite Differences

Posted by Mndaweni, M. (Menzi) on Mar 16, 2006; 7:14am
URL: http://quantlib.414.s1.nabble.com/Discrete-Dividends-on-Finite-Differences-tp4616.html

I have tried to implement discrete dividends when

pricing an option using finite differences scheme.

Has anyone been able to do this?

 

Menzi Mndaweni

Nedbank Capital

Equity Capital Markets

Quantitative Analyst

Tel (w):    +27 11 - 294 4516

Fax(w):    +27 11 - 759 7021

 

 

---

Nedbank Limited Reg No 1951/000009/06. The following link displays the names of the Nedbank Board of Directors and Company Secretary.

This email is confidential and is intended for the addressee only. The following link will take you to Nedbank's legal notice.

---