Re: [Quantlib-dev] Binomial American Options with Discrete Dividends & Greeks

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

Hi James,
    there's no binomial engine for that, but you can use
the FDDividendAmericanEngine and DividendVanillaOption classes; see
test-suite/dividendoption.cpp for an example. Due to the way the numerical
calculation is performed, the engine doesn't provide all the Greeks
natively; only delta and gamma. For the others, you'll have to bump the
inputs and reprice the option.

Luigi


On Mon, Nov 2, 2015 at 9:57 AM jamesquant <jam...@ho...> wrote:

> How do I calculate using quantlib Binomial American Options with Discrete
> Dividends & Greeks?
>
>
>
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