8
votes
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
...
- 6,963
7
votes
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 ...
- 14.5k
3
votes
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,...
- 2,888
3
votes
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, ...
- 8,143
3
votes
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 ...
3
votes
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 ...
- 930
2
votes
Accepted
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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