Posted by
Ferghil O'Rourke on
Mar 17, 2006; 9:38am
URL: http://quantlib.414.s1.nabble.com/FW-Discrete-Dividends-on-European-Option-tp4622p4624.html
Thanks, That's getting me a bit closer to the calculator result.
Do you know if the dividends I pass in to DividendVanillaOption should be
pre-discounted for pv (present value)?
-----Original Message-----
From: Luigi Ballabio [mailto:
[hidden email]]
Sent: Friday, March 17, 2006 10:46 AM
To: forourke
Cc:
[hidden email]
Subject: Re: [Quantlib-users] FW: Discrete Dividends on European Option
On 03/17/2006 04:42:23 PM, forourke wrote:
> I'm looking to price a European option that pays discrete dividends.
>
> I see DividendVanillaOption takes dividend dates and amounts however,
> AnalyticEuropeanEngine seems not to work with it. What's the correct
> combination to price a European option with dividends?
DividendVanillaOption with AnalyticDividendEuropeanEngine (it's in
ql/PricingEngines/Vanilla in a file by the same name.)
Hope this helps,
Luigi
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