Patches item #2998228, was opened at 2010-05-07 17:56
Message generated for change (Comment added) made by lballabio
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Category: None
Group: None
>Status: Closed
>Resolution: Rejected
Priority: 5
Private: No
Submitted By: Hachemi Benyahia (hachemidxp)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Gap option
Initial Comment:
Digital gap option with an analytic engine.
A negative NPV is possible.
see:E.G. Haug p. 174 and 175
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>Comment By: Luigi Ballabio (lballabio)
Date: 2010-10-06 12:29
Message:
Gap options are already available by passing a GapPayoff to EuropeanOption.
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