adjust_for_dividends

A <code>matrix</code> with one row for each level of <code>S</code> and one
column per set of <code>S</code>-associated instrument values

grid_values

Time after this timestep has been taken

Underlying equity values for the grid

Time zero price of the base equity

A <code>data.frame</code> with columns <code>time</code>, <code>fixed</code>,
and <code>proportional</code>. Dividend size at the given <code>time</code> is
then expected to be equal to <code>fixed + proportional * S / S0</code>

dividends

Analyze <code>dividends</code> to find ones paid in the interval <code>(t,t+dt]</code>. Form
 present value as of time <code>t</code> for them, and then use spline interpolation
 to adjust instrument values accordingly.

Algorithms to price American and European
equity options, convertible bonds and a
variety of other financial derivatives. It uses an
extension of the usual Black-Scholes model in which
jump to default may occur at a probability specified
by a power-law link between stock price and hazard
rate as found in the paper by Takahashi, Kobayashi,
and Nakagawa (2001) <doi:10.3905/jfi.2001.319302>. We
use ideas and techniques from Andersen and
Buffum (2002) <doi:10.2139/ssrn.355308> and
Linetsky (2006) <doi:10.1111/j.1467-9965.2006.00271.x>.

adjust_for_dividends: Find the sum of time-adjusted dividend values and adjust grid prices according to their size in the given interval

Description

Usage

Arguments

Value

See Also