# Tag Info

Accepted

### Issue Using QuantLib and Python to Calculate Price and Greeks for American Option With Discrete Dividends

You're not setting the global evaluation date. If you don't, you're in December 2017 and your option has expired a good while ago. Adding ...
• 7,753

### How to understand the compatibility between the discrete and continuous dividend payments

This equivalence can only be written for discrete proportional dividends. For discrete cash dividends the two spot diffusion models are too different for that relationship to be written in general ...
• 14.7k
Accepted

### is there a dependence between an annotation date of stocks dividend payment and the end fiscal year

What do you mean by annotation date, there is a declaration(announcement) date, ex-date, record date but I've never heard of an annotation date. Dividends are not decided always at the fiscal year end,...
• 2,908
Accepted

### What is the arbitrage opportunity and strategy here?

Early exercise of American Call options makes only sense iff $D_n \gt K(1-e^{-r(T-t_n)})$. The lower bound for American call options is $S_{(t_n)}-D_n - K*exp^{-r(T-t_n)}$. However, 3.5 < 3.87, ...
• 9,144

### QuantLib Inaccurate - American Put Option with Discrete Dividends

The pricing engine FdBlackScholesVanillaEngine supports two types of discrete dividend models, the so called spot model and the escrowed dividend model. The default is the spot dividend model. I have ...
Accepted

### Replication (binomial tree)

When the dividend is paid, the stock price on your tree should drop by the same amount. Ie if the dividend is 10 and the value of stock is 100 before the dividend at a node, you should change it to 90 ...
• 940
Accepted

### Discrete Dividend GBM process

You may want to read this paper for GBM with discrete dividend.
• 170
1 vote
Accepted

### Unable to correctly implement the pricing of an American call with multiple discrete dividends using the Clenshaw-Curtis quadrature

I fixed the last part of the code as follows and now it gives the correct answers: ...
1 vote

### Calculating the theoretically fair value of this futures contract by assuming monthly compounding

You must convert all cash and dividend streams into the index points . The current value of the index between stocks seems ok but the dividends need to be converted to index points. Basically divide ...
• 114

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