Re: american options via trinomial trees

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/american-options-via-trinomial-trees-tp6966p6969.html

On Tue, 2010-08-31 at 10:39 -0400, Jeff Yan wrote:
> As far as I know, JQuantLib doesn't support discrete dividends for American Options.
>
> Does the C# version support discrete dividends for American Options?

The SWIG bindings do---they export the finite-difference engine
available in the C++ library.  Look for the DividendVanillaOption and
FDDividendAmericanEngine classes.  As for the native C# port at QLNet, I
have no idea.

Luigi


--

Things should be made as simple as possible, but no simpler.
-- Albert Einstein



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