[ quantlib-Bugs-613469 ] negative vega in FdDividendAmericanOptio
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Bugs item #613469, was opened at 2002-09-23 15:35
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https://sourceforge.net/tracker/?func=detail&atid=112740&aid=613469&group_id=12740Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Submitted By: Vadim Ogranovich (vograno)
Assigned to: Nobody/Anonymous (nobody)
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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You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=613469&group_id=12740