CashDividendEuropeanEngine Class Reference

(Semi)-Analytic pricing engine for European options with cash dividends More...

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

Public Types
enum	CashDividendModel { Spot , Escrowed }

Public Member Functions
	CashDividendEuropeanEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, DividendSchedule dividends, CashDividendModel cashDividendModel=Spot)
void	calculate () const override

Detailed Description

(Semi)-Analytic pricing engine for European options with cash dividends

References:

Jherek Healy, 2021. The Pricing of Vanilla Options with Cash Dividends as a Classic Vanilla Basket Option Problem, https://arxiv.org/pdf/2106.12971

Tests

the correctness of the returned greeks is tested by reproducing numerical derivatives.