Re: implied blows up for binary option

Posted by Luigi Ballabio-4 on Feb 26, 2002; 12:32am
URL: http://quantlib.414.s1.nabble.com/implied-blows-up-for-binary-option-tp10003p10004.html

At 09:25 PM 2/25/02 -0600, Dirk Eddelbuettel wrote:
>Playing with binaries, I noticed that implied Vol calculations abort:
>I don't understand why. Should somebody comment?

Well, between you and me and the other developers, BinaryOption is _so_
smart (not) that it caches its value and doesn't change it even though its
volatility is changed. Of course this makes it kind of difficult to solve
for its implied volatility...

I'm going to fix it this morning. Thanks for the report.

Bye,
         Luigi