Re: [Quantlib-dev] Bates Engine for American Options

[David B. <db...@ic...>]

Hey -

   Very interesting responses.  I'm not sure about the dividend model I want
to use.

   I remember from grad school there was this one guy named Weingartner who
reformulated Lorie and Savage's discount model.  Its been a while, but if I
recall, "Weingartner's formulation" was looked upon as some type of
incredible innovation in how we calculate that curve.  I'll have to go back
and start digging, but to be honest, I don't have an answer yet as-to how I
wish to price it.  I feel it needs to be maximally consistent, yet simple,
so whatever that all means.


Any thoughts?
DB

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