Re: Re: Odd/Even errors in FdDividendAmericanOption

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Re-Odd-Even-errors-in-FdDividendAmericanOption-tp3469p3470.html

On 01/01/05 06:29:35, Joseph Wang wrote:
> I think I know what is causing this, but it is not clear to me how to fix  
> it.
>
> If you choose an odd number of grid points, then the code creates a grid  
> with the underlying as one of the grid points.  If you choose an even  
> number of grid points then the value of the underlying falls half way  
> between the grid points and you have to interpolate to get final value of  
> the option.

Yes, I agree.  As in the old joke ("Doctor, it hurts when I do this."  
"Well, don't do it.") my advice is: don't use an even number of points.  
Lame, I know :)

However, I can't reproduce the divergence without your patch. Maybe it was  
a side effect of using the price grid?

Later,
        Luigi