QuantLib_FDDividendEngineMerton73 man page

FDDividendEngineMerton73< Scheme > — Finite-differences pricing engine for dividend options using escowed dividends model.

Synopsis

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

Inherits 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)

Additional Inherited Members

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

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

FDDividendEngineMerton73(3) is an alias of QuantLib_FDDividendEngineMerton73(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib