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Re: [Quantlib-users] Pricing American Options With Discrete Dividends
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From: Ioannis R. <qua...@de...> - 2018-02-21 20:30:38
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I have now completed my Excel-based study of QuantLib models capable of pricing options on underlyings that pay discrete dividends. There seem to exist 5 applicable engines. The link to my published post is below. It also includes a link to a downloadable spreadsheet. https://blog.deriscope.com/index.php/en/blog/black-scholes-american-options-with-dividends Ioannis On 15.02.2018 11:17, Luigi Ballabio wrote: > 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... > <mailto: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 > ------------------------------------------------------------------------------ > Check out the vibrant tech community on one of the world's most > engaging tech sites, Slashdot.org! > http://sdm.link/slashdot_______________________________________________ > QuantLib-users mailing list > Qua...@li... > <mailto:Qua...@li...> > https://lists.sourceforge.net/lists/listinfo/quantlib-users > > > > ------------------------------------------------------------------------------ > Check out the vibrant tech community on one of the world's most > engaging tech sites, Slashdot.org! http://sdm.link/slashdot > > > _______________________________________________ > QuantLib-users mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-users |
