shift_for_dividends

Shift a set of grid values for dividends paid, using spline interpolation

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>.

Brian Boonstra

ragtop

Pricing Equity Derivatives with Extensions of Black-Scholes

shift_for_dividends function

<dl><dt>grid_values_before_shift</dt>
<dd>Values on grid before accounting for
expected dividends</dd>
<dt>stock_prices</dt>
<dd>Stock prices for which to shift the grid</dd>
<dt>div_sum</dt>
<dd>Sum of dividend values at each grid point</dd></dl>

Arguments

Shift a set of grid values for dividends paid, using spline interpolation — shift_for_dividends

<dl>

<dt>grid_values_before_shift</dt>
<dd>Values on grid before accounting for
expected dividends</dd>


<dt>stock_prices</dt>
<dd>Stock prices for which to shift the grid</dd>


<dt>div_sum</dt>
<dd>Sum of dividend values at each grid point</dd>

</dl>

shift_for_dividends: Shift a set of grid values for dividends paid, using spline interpolation

Description

Usage

Value

Arguments

See Also