8 votes

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 ...
Luigi Ballabio's user avatar
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 ...
Quantuple's user avatar
  • 14.5k
3 votes

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,...
Lliane's user avatar
  • 2,888
3 votes

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, ...
AKdemy's user avatar
  • 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 ...
Klaus Spanderen's user avatar
3 votes

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 ...
piterbarg's user avatar
  • 930
2 votes

Discrete Dividend GBM process

You may want to read this paper for GBM with discrete dividend.
StupidMan's user avatar
  • 180
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 ...
JazKaz's user avatar
  • 114

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