adjust_for_dividends: Find the sum of time-adjusted dividend values and adjust grid...

In ragtop: Pricing Equity Derivatives with Extensions of Black-Scholes

Description

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

Usage

adjust_for_dividends(grid_values, t, dt, r, h, S, S0, dividends)

Arguments

grid_values	A matrix with one row for each level of S and one column per set of S-associated instrument values
t	Time after this timestep has been taken
dt	Interval to end of timestep
r	risk-free interest rate
h	Default intensities
S	Underlying equity values for the grid
S0	Time zero price of the base equity
dividends	A data.frame with columns time, fixed, and proportional. Dividend size at the given time is then expected to be equal to fixed + proportional * S / S0

Value

An object like grid_values with entries modified according to the dividends

See Also

Other Dividends: shift_for_dividends(), time_adj_dividends()

ragtop documentation built on March 26, 2020, 7:28 p.m.