Posted by
Ferdinando M. Ametrano-2 on
Feb 26, 2002; 12:55am
URL: http://quantlib.414.s1.nabble.com/implied-blows-up-for-binary-option-tp10003p10005.html
Two more warnings:
1) impliedVol usually fails when the option's value is not attainable with
any volatility value (e.g. a value less than the intrinsic value for an
american option)
2) even if a root exists with binary options you're not guaranteed
impliedVol will find it. This is because contracts with a gamma that
changes sign have values that are not monotonic in the volatility.
I'm going to add these 2 warning to the Doxygen documentation
ciao -- Nando
At 09:48 AM 2/26/02 +0000, Luigi Ballabio wrote:
>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
>
>
>_______________________________________________
>Quantlib-dev mailing list
>
[hidden email]
>
https://lists.sourceforge.net/lists/listinfo/quantlib-dev