Login  Register

Re: bug report: negative price for an American put option using Bjerksund and Stensland approximation

Posted by Luigi Ballabio on Nov 09, 2005; 6:25am
URL: http://quantlib.414.s1.nabble.com/bug-report-negative-price-for-an-American-put-option-using-Bjerksund-and-Stensland-approximation-tp4195p4203.html

On 11/08/2005 02:41:40 PM, [hidden email] wrote:
> I have a bug report: I encountered a  negative price for an American
> put option using Bjerksund and Stensland approximation.
>
> Furthermore, changing the spot to 100 yields a price of 0, which also
> seems incorrect.

Yes, I reproduced the problem. I'll get back when I have some news.

Thanks,
        Luigi


----------------------------------------

Newton's Law of Gravitation:
        What goes up must come down.  But don't expect it to come down
        where you can find it.  Murphy's Law applies to Newton's.