- QuantLib
- FDDividendEngineShiftScale
Finite-differences engine for dividend options using shifted dividends. More...
#include <ql/pricingengines/vanilla/fddividendengine.hpp>
Public Member Functions | |
FDDividendEngineShiftScale (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) |
Finite-differences engine for dividend options using shifted dividends.
This engine uses the same algorithm that was used in versions 0.3.11 and earlier. It produces results that are different from the Merton-73 engine.