|
|
On 15 January 2006 at 18:13, UNG wrote:
| I see something strange. Trying to get Greeks etc. for
| a simple European option for a non-dividend paying
| stock.
|
| It gives me a strange vega (off by 0.19) and more
| importantly fails to give me an implied
| volatility...the message is ....root not bracketed...
|
| It seems to be a convergence problem.
|
| The option is on U.S. stock AMG ( I know it is an
| American option but am just trying to get the numbers
| to match and have put it in as European in Bloomberg
| option calculator (function OV)).
|
| Thx in advance for your help.
Could you please post the parameters you were using, maybe by sending a
complete self-contained example in C++ or Python?
Dirk
--
Hell, there are no rules here - we're trying to accomplish something.
-- Thomas A. Edison
|
Locked
