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From: Ashish B. <ash...@gm...> - 2022-06-14 14:08:32
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Ok, understood. so you are saying even with DD=1 for a call it is anyways falling to BS model. I would rather use that. Could you also explain in short what is the difference between FDAmerican engine vs FD Black Scholes engine that I am getting difference in prices? Is there a way I could equate those? Ashish On Tue, 14 Jun 2022 at 18:53, Luigi Ballabio <lui...@gm...> wrote: > Dividend discount = 1 is a weird way to say that the dividend rate is 0, > that is, there are no dividends. > > An American call on a stock with no dividends is the same as a European > call, so the engine falls back to the Black-Scholes formula for European > options (which also provides Greeks). An American put (or an American call > on a stock with dividends) is not the same, so in that case the engine uses > the approximation formula and Greeks are not available. > > Luigi > > > > On Tue, Jun 14, 2022 at 3:16 PM Ashish Bansal <ash...@gm...> > wrote: > >> Not sure why is dividend discount is treated for Call only. I am running >> this for commodities where the dividend is 0. Although passing some >> dividend also gave the same error. >> >> Anyways, thanks for your help around it. Greatly appreciated. >> >> Regards, >> Ashish >> >> On Tue, 14 Jun 2022 at 16:29, Jonathan Sweemer <sw...@gm...> wrote: >> >>> Hi Ashish, >>> >>> The code[1] treats calls with a dividend discount of at least 1 the same >>> as European, so that's probably why you're seeing greeks for calls only. >>> >>> There was a similar question[2] on github recently and the suggestion >>> was to calculate a numerical delta by bumping spot up and down and >>> repricing. The other benefit of this approach is that it will incorporate >>> the effect of the smile into your delta if you switch to a non-BS vol model >>> one day. >>> >>> [1] >>> https://github.com/sweemer/QuantLib/blob/master/ql/pricingengines/vanilla/baroneadesiwhaleyengine.cpp#L162-L165 >>> [2] >>> https://github.com/lballabio/QuantLib/issues/1398#issuecomment-1146073964 >>> >>> On Tue, Jun 14, 2022 at 7:39 PM Ashish Bansal <ash...@gm...> >>> wrote: >>> >>>> Hi, >>>> >>>> I am analyzing BaroneAdesiWhaleyEngine for pricing the American option >>>> to replace old FDAmericanEngine we are using. I am getting the price and >>>> greeks when passing the call option in this engine but when I pass a put >>>> trade, I get <greek> not provided error for all greeks including Delta or >>>> Gamma. >>>> >>>> Is put not supported in BaroneAdesiWhaleyEngine? >>>> >>>> I noticed that the release notes suggested >>>> using FdBlackScholesVanillaEngine but that provides a price farther than >>>> the BAW engine which is closer to the FD American engine. >>>> >>>> Thanks >>>> Ashish >>>> _______________________________________________ >>>> QuantLib-users mailing list >>>> Qua...@li... >>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users >>>> >>> _______________________________________________ >> QuantLib-users mailing list >> Qua...@li... >> https://lists.sourceforge.net/lists/listinfo/quantlib-users >> > |