Re: bug showed up in AmericanOption example
Posted by Luigi Ballabio-2 on Jul 29, 2003; 6:16am
URL: http://quantlib.414.s1.nabble.com/bug-showed-up-in-AmericanOption-example-tp10302p10303.html
At 01:48 PM 7/29/03 +0200, Ferdinando Ametrano wrote:
>the AmericanOption example shows a bug related to matrix/vector product,
>originating from a bad SVD decomposition triggered by the valuation of an
>OTM option with very few ITM paths.
Can you elaborate on this?
Later,
Luigi