I've just learned about QuantLib from Dirk's posting to r-help (thank you
Dirk!) and looked through the info available from the home page.
I understand that the project is in early stages of development and so the
documentation is not complete. Before I go and read the source code I wonder
if someone can save me time and tell how easy/difficult it is with QuantLib
to compute implied volatility of an American option on a divident paying
stock (either cash or stock).
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At 02:43 PM 2/26/02 -0600, Vadim Ogranovich wrote:
>Before I go and read the source code I wonder
>if someone can save me time and tell how easy/difficult it is with QuantLib
>to compute implied volatility of an American option on a divident paying
>stock (either cash or stock).
Below I give you an example with continuous dividends. The class
FdDividendAmericanOption handle discrete dividends