Bugs item #1538952, was opened at 2006-08-11 23:02
Message generated for change (Settings changed) made by lballabio
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Category: None
Group: None
>Status: Closed
>Resolution: Out of Date
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
>Assigned to: Luigi Ballabio (lballabio)
Summary: CRR Binomial Negative Probability Error
Initial Comment:
When calculating impliedVolatility for an american
call using the Cox-Ross-Rubinstein Binomial vanilla
engine, I receive the following error:
"negative probability"
(this also occurs for the "tian" binomial model)
See attached source code, contains parameters and the
code I'm using (C# via SWIG)
However, when I change to other Binomial models
(eg: "jr" or "eqp" instead of "crr") this error does
not occur, and the implied vol is calculated at
approximately 37.47%
----------------------------------------------------------------------
>Comment By: Luigi Ballabio (lballabio)
Date: 2007-11-28 13:04
Message:
Logged In: YES
user_id=75450
Originator: NO
Due to code changes (implied-volatility calculation now hard-codes the
engine) the above is no longer applicable in release 0.9.0.
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