Re: QuantLib American Option Query

Posted by Luigi Ballabio-2 on Dec 17, 2004; 3:55am
URL: http://quantlib.414.s1.nabble.com/QuantLib-American-Option-Query-tp3430p3431.html

On 2004.12.09 08:20, Manoj wrote:

> When we try to calculate the American Option Greeks with  
> AnalyticalDigitalAmericanEngine, it returns some unacceptable values as  
> option price and option greeks. Here is the details.
>
> Active Test Case No = 1
> Using 0.3.7-debug
> option type = call
>  underlying 90
>  strike 100
>  dividendYield 0.1
>  riskFreeRate 0.1
>  volatility 0.15
>  todaysDate 12/09/2004
>  settlementDate 12/14/2004    // Plan to settle
>  exerciseDate 01/15/2005       //Date of Expiry
> Time to maturity  0.0876712
> OptionType  Call
> EngineType  Call American //AnalyticalDigitalAmericanEngine
> Calculated Opt Price  -1.54148e+060
> Calculated Opt Delta  -1.05275e+060
> Calculated Opt Gamma  -6.19998e+059
> Calculated Opt Rho  -7.16467e+060

Manoj,
        I apologize for the delay. Can you send me some code reproducing  
the above results? I'll try and have a look at it.

Later,
        Luigi