Re: american options delta leads to seg.fault.

Posted by Ferdinando M. Ametrano-3 on
URL: http://quantlib.414.s1.nabble.com/american-options-delta-leads-to-seg-fault-tp10543p10555.html

>Do any of the other engines provide greeks? Would be nice to
>still provide them for American options as I used to before 0.3.5.

BTW I hope to provide delta/gamma/theta for all the binomial engines before
0.3.7
I would like to implement the 3-nodes trick, that is to have a tree with
three nodes instead of one at the t=0.0 root: this should provide delta and
gamma, then use Black-Scholes for theta.

ciao -- Nando