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< Time >	stoppingTimes_
Size	timeStepPerPeriod_
SampledCurve	prices_
boost::shared_ptr < StandardStepCondition >	stepCondition_
boost::shared_ptr< model_type >	model_

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.