Finite-differences pricing engine for dividend options using escowed dividends model. More...
#include <ql/pricingengines/vanilla/fddividendengine.hpp>
Public Member Functions | |
FDDividendEngineMerton73 (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) | |
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FDDividendEngineBase (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) | |
Additional Inherited Members | |
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typedef FiniteDifferenceModel < Scheme< TridiagonalOperator > > | model_type |
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virtual void | setupArguments (const PricingEngine::arguments *) const |
Real | getDividendAmount (Size i) const |
Real | getDiscountedDividend (Size i) const |
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std::vector< boost::shared_ptr < Event > > | events_ |
std::vector< Time > | stoppingTimes_ |
Size | timeStepPerPeriod_ |
SampledCurve | prices_ |
boost::shared_ptr < StandardStepCondition > | stepCondition_ |
boost::shared_ptr< model_type > | model_ |
Finite-differences pricing engine for dividend options using escowed dividends model.
The Merton-73 engine is the classic engine described in most derivatives texts. However, Haug, Haug, and Lewis in "Back to Basics: a new approach to the discrete dividend problem" argues that this scheme underprices call options. This is set as the default engine, because it is consistent with the analytic version.