Bugs item #613469, was opened at 2002-09-24 00:35
Message generated for change (Comment added) made by lballabio
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Category: None
Group: None
>Status: Closed
>Resolution: Out of Date
Priority: 5
Private: No
Submitted By: Vadim Ogranovich (vograno)
>Assigned to: Luigi Ballabio (lballabio)
Summary: negative vega in FdDividendAmericanOptio
Initial Comment:
When an american option is deeply in-the-money (close to
being exercised) FdDividendAmericanOption sometimes
yields negative vega, see the attached C++ program to
reproduce the bug
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>Comment By: Luigi Ballabio (lballabio)
Date: 2007-11-28 15:23
Message:
Logged In: YES
user_id=75450
Originator: NO
The FdDividendAmericanOption class is no longer in the library.
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