black_scholes_put_div.cc

Financial Recipes

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

double option_price_european_put_dividends(    double S, // spot price
					       double X, // Strike (exercise) price,
					       double r,  // interest rate
					       double sigma,
					       double time_to_maturity,
					       vector<double>& dividend_times,
					       vector<double>& dividend_amounts ) {
// reduce the current stock price by the amount of dividends. 
   for (unsigned 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_put_black_scholes(S,X,r,sigma,time_to_maturity);
};