Re: [Quantlib-users] Pricing American Options With Discrete Dividends

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

Not in the library, I'm afraid.  I don't know if anyone did it outside the
library...

Luigi


On Wed, Jan 24, 2018 at 4:55 AM Ney Sheridan <ney...@gm...> wrote:

> Hi All,
>
> I am a new QuantLib user and am primarily using the code at this point to
> price American options, mostly with discrete dividends.  From my
> understanding, the only way to do this in QuantLib is to use
> FDDividendAmericanEngine as the engine with BlackScholesProcess and
> BlackConstantVol, and to use "bump" methods for vega, rho and theta as only
> NPV, delta and gamma are valid.  Are there any other pricing schemes that
> can handle discrete dividends that anyone can share?
>
> Thanks,
>
> NS
>
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