FA-61545 / Options payoff and settlement / Member archive

European option value with continuous dividend yield: the dividend yield is added to the drift · case 05

Options on dividend payers are priced as if dividends increased the forward.

Member previewVariant 5 · 3 implementations · 8 checks per implementation

Case contract

Inputs kind, spot S, strike K, rate r, dividend yield q, volatility sigma and calendar days to expiry. T = days/365. At days == 0 return intrinsic value. Otherwise d1 = (ln(S/K) + (r - q + sigma^2/2)T)/(sigma sqrt T), d2 = d1 - sigma sqrt T, call = S e^{-qT} N(d1) - K e^{-rT} N(d2), put = K e^{-rT} N(-d2) - S e^{-qT} N(-d1). Round to 6.

Why this case matters

Option expiry, exercise and settlement engines move cash and shares; a wrong branch misstates obligations.

One recorded failure

Sample boundary fixture

This sample comes from the broken implementation of a controlled reproducer.

Boundary fixture	Actual	Expected	Outcome
regression dividend drift 1	`1.158425`	`1.303213`	Failed

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