QuantLib_FDDividendEngineMerton73

Langue: en

Autres versions - même langue

Version: 373646 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::FDDividendEngineMerton73 -

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

SYNOPSIS


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

Inherits QuantLib::FDDividendEngineBase< Scheme >.

Inherited by FDAmericanCondition< FDDividendEngineMerton73< Scheme > >, FDEngineAdapter< FDDividendEngineMerton73< Scheme >, DividendVanillaOption::engine >, FDShoutCondition< FDDividendEngineMerton73< Scheme > >, and FDDividendEngine< Scheme >.

Public Member Functions


FDDividendEngineMerton73 (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false)

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. 

Author

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