Re: Discrete Dividends on Finite Differences

Posted by Luigi Ballabio on Mar 17, 2006; 6:21am
URL: http://quantlib.414.s1.nabble.com/Discrete-Dividends-on-Finite-Differences-tp4616p4618.html

On 03/16/2006 04:13:34 PM, Mndaweni, M. (Menzi) wrote:
> I have tried to implement discrete dividends when
> pricing an option using finite differences scheme.
> Has anyone been able to do this?

There are a few pricers for that in the library (see the sources inside  
ql/PricingEngines/Vanilla) but their reliability must still be  
assessed. Joseph, can you step in and comment?

Later,
        Luigi

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