Re: american options delta leads to seg.fault.

Posted by Luigi Ballabio-2 on
URL: http://quantlib.414.s1.nabble.com/american-options-delta-leads-to-seg-fault-tp10543p10550.html

Dirk,
        it was impliedVolatility() that gave problems with the old  
American, right? What happens if you edit ql/argsandresults.hpp and  
change line 27 to
#define QL_MIN_VOLATILITY 1.0e-5
(apart from a big recompilation, that is :)

Later,
        Luigi