Re: american options delta leads to seg.fault.

Posted by Dirk Eddelbuettel on
URL: http://quantlib.414.s1.nabble.com/american-options-delta-leads-to-seg-fault-tp10543p10551.html

Luigi,

On Tue, Apr 06, 2004 at 05:23:17PM +0200, Luigi Ballabio wrote:
>
> Dirk,
> it was impliedVolatility() that gave problems with the old  
> American, right? What happens if you edit ql/argsandresults.hpp and  

Not that I recall :)   Maybe at a point in time way back; right now I was
just trying to use binomial pricer analytics that don't exist.  But I have
to go over RQL in more detail anyway...

> change line 27 to
> #define QL_MIN_VOLATILITY 1.0e-5
> (apart from a big recompilation, that is :)

I'll keep that in mind.

Dirk

--
The relationship between the computed price and reality is as yet unknown.  
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