FDDividendEngineMerton73 Class Template Reference
[Vanilla option engines]
Finite-differences pricing engine for dividend options using escowed dividends model.
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#include <ql/pricingengines/vanilla/fddividendengine.hpp>
Inheritance diagram for FDDividendEngineMerton73:

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.