FDDividendEngineMerton73< Scheme > Class Template Reference

Finite-differences pricing engine for dividend options using escowed dividends model. More...

#include <ql/pricingengines/vanilla/fddividendengine.hpp>

Inheritance diagram for FDDividendEngineMerton73< Scheme >:

Public Member Functions

 FDDividendEngineMerton73 (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false)
 
- Public Member Functions inherited from FDDividendEngineBase< Scheme >
 FDDividendEngineBase (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false)
 

Additional Inherited Members

- Protected Types inherited from FDMultiPeriodEngine< Scheme >
typedef FiniteDifferenceModel
< Scheme< TridiagonalOperator > > 
model_type
 
- Protected Member Functions inherited from FDDividendEngineBase< Scheme >
virtual void setupArguments (const PricingEngine::arguments *) const
 
Real getDividendAmount (Size i) const
 
Real getDiscountedDividend (Size i) const
 
- Protected Attributes inherited from FDMultiPeriodEngine< Scheme >
std::vector< boost::shared_ptr
< Event > > 
events_
 
std::vector< TimestoppingTimes_
 
Size timeStepPerPeriod_
 
SampledCurve prices_
 
boost::shared_ptr
< StandardStepCondition
stepCondition_
 
boost::shared_ptr< model_typemodel_
 

Detailed Description

template<template< class > class Scheme = CrankNicolson>
class QuantLib::FDDividendEngineMerton73< Scheme >

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.