This is interesting. I run FdDividendAmerican with a zero dividend, and
it still fails at 300. Works fine for smaller time steps....
Hmmmmm........
assetSteps=300 price=-55928.3 delta=-3.58224e+06 vega=-290131
assetSteps=300 price=2.01295 delta=0.49286 vega=7.73506
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#include <ql/quantlib.hpp>
#include <iostream>
using namespace std;
using namespace QuantLib;
int main() {
const unsigned timeSteps = 40;
vector<unsigned> assetStepsA;
assetStepsA.push_back(20);
assetStepsA.push_back(40);
assetStepsA.push_back(60);
assetStepsA.push_back(70);
assetStepsA.push_back(150);
assetStepsA.push_back(300);
vector<double> dividendA, dividendTimeA;
dividendA.push_back(0.0);
dividendTimeA.push_back(1e-4);
double under=54.625;
double strike=55;
double dividendYield=0;
// double interestRate=0.052706;
double interestRate=0.00;
double expirationTime=0.126027;
double sigma=0.282922;
for (unsigned i=0; i<assetStepsA.size(); i++) {
const unsigned assetSteps = assetStepsA[i];
FdDividendAmericanOption opt(Option::Call, under,
strike,
dividendYield, interestRate,
expirationTime, sigma,
dividendA, dividendTimeA,
timeSteps, assetSteps);
cout << "assetSteps=" << assetSteps
<< " price=" << opt.value()
<< " delta=" << opt.delta()
<< " vega=" << opt.vega()
<< "\n";
FdAmericanOption opt1(Option::Call, under,
strike,
dividendYield, interestRate,
expirationTime, sigma,
timeSteps, assetSteps);
cout << "assetSteps=" << assetSteps
<< " price=" << opt1.value()
<< " delta=" << opt1.delta()
<< " vega=" << opt1.vega()
<< "\n";
}
return 0;
}
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