time_adj_dividends: Find the sum of time-adjusted dividend values

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

Description

For each of the N elements of S/h find the sum of the given M dividends, discounted to t_final by r and h

Usage

time_adj_dividends(relevant_divs, t_final, r, h, S, S0)

Arguments

relevant_divs	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
t_final	Time beyond which to ignore dividends
r	risk-free interest rate
h	Default intensities
S	Stock prices
S0	initial underlying price

Value

Sum of dividends, at each grid node

See Also

Other Dividends: adjust_for_dividends(), shift_for_dividends()

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