Bugs item #3417114, was opened at 2011-10-02 21:52
Message generated for change (Tracker Item Submitted) made by fancidev
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: R Y (fancidev)
Assigned to: Nobody/Anonymous (nobody)
Summary: BS call option price lower than intrinsic value
Initial Comment:
Compile and run the following program in Visual Studio 2010 produces the bug.
#include <iostream>
#include <ql/pricingengines/blackformula.hpp>
using namespace QuantLib;
static void TestBlackScholesBound()
{
double F = 1.35;
double K = 0.39;
double stdev = 0.12;
double c = blackFormula(Option::Call, K, F, stdev);
if (c < (F - K))
{
std::cerr << "Error: Option price = " << c << ", Lower Bound = "
<< (F - K) << std::endl;
}
}
int main()
{
TestBlackScholesBound();
system("PAUSE");
}
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