Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Can-CRR-model-valuate-options-on-stocks-with-discrete-dividend-schedule-tp595p596.html
On Thu, 2007-02-08 at 23:00 -0600, Bai, Yun wrote:
> Following examples\EquityOption\EquityOption.cpp, I tried to value an
> american option on underly that has discrete dividend schedule by simply
> changing the EuropeanOption to DividendVanillaOption:
> However during runtime, exceptions pops up from
> DividendVanillaOption::setupArguments, telling me "wrong engine type".
> Can someone tell me whether DividendVanillaOption can be used along with
> CRR model binomial engine?
Yun,
no, unfortunately it can't. The CRR engine (or any binomial-tree
engine) cannot yet manage discrete dividends. Would you be willing to
contribute a patch?
Later,
Luigi
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