Posted by
Jeff Yan on
URL: http://quantlib.414.s1.nabble.com/american-options-via-trinomial-trees-tp6966p6968.html
As far as I know, JQuantLib doesn't support discrete dividends for American Options.
Does the C# version support discrete dividends for American Options?
-----Original Message-----
From: Luigi Ballabio [mailto:
[hidden email]]
Sent: Tuesday, August 31, 2010 10:07 AM
To: Alexander Ratnikov
Cc:
[hidden email]
Subject: Re: [Quantlib-users] american options via trinomial trees
On Fri, 2010-08-27 at 22:10 +0200, Alexander Ratnikov wrote:
> I am trying to use QuantLib to calculate american options premium
> using trinomial trees.
> Unfortunately, I could now find any code snippet that shows this
> technique.
If you mean American equity options, there's no trinomial-tree
implementation. Pricing using binomial trees, however, is shown in
Examples/EquityOption. The latter is also available in C# if you
download the QuantLib-SWIG bindings too.
Luigi
--
Zawinski's Law:
Every program attempts to expand until it can read mail. Those
programs which cannot so expand are replaced by ones which can.
------------------------------------------------------------------------------
This SF.net Dev2Dev email is sponsored by:
Show off your parallel programming skills.
Enter the Intel(R) Threading Challenge 2010.
http://p.sf.net/sfu/intel-thread-sfd_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-usersThe information contained in this electronic message is confidential and does not constitute investment advice or an offer to sell or the solicitation of an offer to purchase any security or investment product. Offers may only be made by means of delivery of an approved confidential offering memorandum, may be legally privileged and confidential under applicable law, and are intended only for the use of the individual or entity named above. We do not, and will not, effect or attempt to effect transactions in securities, or render personalized investment advice for compensation, through this email. All materials within this email have been provided to you for information purposes only and may not be relied upon by you in evaluating the merits of investing in any securities referenced herein. Any review, retransmission, dissemination, or taking of any action in reliance upon this information by persons or entities other than the intended recipient is prohibited. If you received this in error, please contact the sender and delete the material from any computer. Email transmissions are not secure, and we accept no liability for errors in transmission, delayed transmission, or other transmission-related issues. This message may contain confidential, proprietary or legally privileged information. Neither confidentiality nor any privilege is intended to be waived or lost by any error in transmission. Emails are subject to review and will be archived.
------------------------------------------------------------------------------
This SF.net Dev2Dev email is sponsored by:
Show off your parallel programming skills.
Enter the Intel(R) Threading Challenge 2010.
http://p.sf.net/sfu/intel-thread-sfd_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users