black_scholes_call_div.cc

Financial Recipes

#include <cmath>              // mathematical library
#include <vector>
#include "fin_recipes.h"          // define the black scholes price 


double option_price_european_call_dividends(  double S,               
					      double X,
					      double r,
					      double sigma,           
					      double time_to_maturity,
					      vector<double>& dividend_times,
					      vector<double>& dividend_amounts ) {  
    for (int i=0;i<dividend_times.size();i++) {
	if (dividend_times[i]<=time_to_maturity){
	    S -= dividend_amounts[i] * exp(-r*dividend_times[i]);
	};
    };
    return option_price_call_black_scholes(S,X,r,sigma,time_to_maturity);
};