Re: [Quantlib-dev] American equity option pricing

[Luigi B. <lui...@gm...>]

On Sun, 2008-10-12 at 12:49 -0400, Scott Sinclair wrote:
> I am relatively new to this community and was looking for some input
> on how to price an American equity option with both a time dependent
> interest rate and a time dependent volatility with discrete dividends
> using a trinomial tree.

Scott,
	apologies for the delay. As you might have seen, the TrinomialTree
class provides most of the machinery---were it not for discrete
dividends.  They've been mentioned more than once here, but nobody went
and implemented them yet.  Ideally, they would be included in the
generation of the tree, but I'm not familiar with the techniques that
should be used for recombining.  Do you have any idea?

Luigi


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