Finite-differences pricing engine for dividend options using escowed dividends model. More...
#include <ql/pricingengines/vanilla/fddividendengine.hpp>
 Inheritance diagram for FDDividendEngineMerton73< Scheme >:
 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 Member Functions inherited from FDDividendEngineBase< Scheme > | |
| virtual void | setupArguments (const PricingEngine::arguments *) const | 
| Real | getDividendAmount (Size i) const | 
| Real | getDiscountedDividend (Size i) const | 
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.