Posted by
Pedro Romano-2 on
URL: http://quantlib.414.s1.nabble.com/Can-CRR-model-valuate-options-on-stocks-with-discrete-dividend-schedule-tp595p597.html
Luigi, Yun,
I also need CRR binomial-tree engine with discrete dividends and will
be implementing this functionality in the short term. Any chance of
cooperation on this Yun?
Luigi: since I am still not familiar with the code do you have any
tips on how to go about implementing this? Any other code already
implemented I can base it on? Thanks.
Best regards,
--Pedro.
Luigi Ballabio wrote:
> 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
>
>
> ----------------------------------------
>
> Everything that can be invented has been invented.
> -- Charles Duell, Director of U.S. Patent Office, 1899
>
>
>
> -------------------------------------------------------------------------
> Using Tomcat but need to do more? Need to support web services, security?
> Get stuff done quickly with pre-integrated technology to make your job easier.
> Download IBM WebSphere Application Server v.1.0.1 based on Apache Geronimo
>
http://sel.as-us.falkag.net/sel?cmd=lnk&kid=120709&bid=263057&dat=121642-------------------------------------------------------------------------
Using Tomcat but need to do more? Need to support web services, security?
Get stuff done quickly with pre-integrated technology to make your job easier.
Download IBM WebSphere Application Server v.1.0.1 based on Apache Geronimo
http://sel.as-us.falkag.net/sel?cmd=lnk&kid=120709&bid=263057&dat=121642_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users