QuantLib: FDDividendEngineMerton73< Scheme > Class Template Reference

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FDDividendEngineMerton73< Scheme > Class Template Reference
Pricing engines » Vanilla option engines

Finite-differences pricing engine for dividend options using escowed dividends model. More...

`#include <ql/pricingengines/vanilla/fddividendengine.hpp>`

Inheritance diagram for FDDividendEngineMerton73< Scheme >:
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## Public Member Functions
| FDDividendEngineMerton73 (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false)
Public Member Functions inherited from FDDividendEngineBase< Scheme >
| FDDividendEngineBase (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false)

## Additional Inherited Members
Protected Member Functions inherited from FDDividendEngineBase< Scheme >
virtual void | setupArguments (const PricingEngine::arguments *) const
Real | getDividendAmount (Size i) const
Real | getDiscountedDividend (Size i) const

## Detailed Description

### template<template< class > class Scheme = CrankNicolson>
class QuantLib::FDDividendEngineMerton73< Scheme >

Finite-differences pricing engine for dividend options using escowed dividends model.

The Merton-73 engine is the classic engine described in most derivatives texts. However, Haug, Haug, and Lewis in "Back to Basics: a new approach to the discrete dividend problem" argues that this scheme underprices call options. This is set as the default engine, because it is consistent with the analytic version.