Re: American forward option pricing

Posted by Luigi Ballabio on Jun 20, 2006; 7:52am
URL: http://quantlib.414.s1.nabble.com/American-forward-option-pricing-tp4846p4849.html


On 06/19/2006 08:40:54 PM, Adrian O' Neill wrote:

> I did work out how to do the American case though, that was to create
> the dividend term structure equal to the yield for the underlying
> stochastic process:
>
>     boost::shared_ptr<BlackScholesProcess> stochasticProcess(new
>         BlackScholesProcess(
>             underlyingH,
> divStructure,
> termStructure,
>             flatVolTS));

Yes, correct. In next version, you'll be able to write simply:

new BlackProcess(underlyingH,
  termStructure,
                  flatVolTS));

which will set the dividend structure accordingly.

Luigi


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