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
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