org.jquantlib.pricingengines.vanilla.finitedifferences

Class FDDividendEngineMerton73

java.lang.Object

org.jquantlib.pricingengines.vanilla.finitedifferences.FDVanillaEngine

org.jquantlib.pricingengines.vanilla.finitedifferences.FDMultiPeriodEngine

org.jquantlib.pricingengines.vanilla.finitedifferences.FDDividendEngineBase

org.jquantlib.pricingengines.vanilla.finitedifferences.FDDividendEngineMerton73

Direct Known Subclasses:

FDDividendEngine

public class FDDividendEngineMerton73
extends FDDividendEngineBase

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

Constructor Summary

Constructors

Constructor and Description
FDDividendEngineMerton73(GeneralizedBlackScholesProcess process, int timeSteps, int gridPoints, boolean timeDependent)

Method Summary

Methods inherited from class org.jquantlib.pricingengines.vanilla.finitedifferences.FDMultiPeriodEngine

calculate, setupArguments

Methods inherited from class org.jquantlib.pricingengines.vanilla.finitedifferences.FDVanillaEngine

grid

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

FDDividendEngineMerton73

public FDDividendEngineMerton73(GeneralizedBlackScholesProcess process,
                                int timeSteps,
                                int gridPoints,
                                boolean timeDependent)