Re: call-put parity in G2++

Posted by Ferdinando M. Ametrano-3 on
URL: http://quantlib.414.s1.nabble.com/call-put-parity-in-G2-tp6236p6237.html

On Thu, Sep 8, 2011 at 9:56 PM, SK A <[hidden email]> wrote:
> [...] test the call-put parity in G2++
> model. The test fails in the closed form implementation. I compared the code
> and the formula in Brigo and Mercurio, it seems to be ok. Does anyone have
> any idea what can be going wrong?

How large is the error?

Does the formula preserve put-call parity? i.e. is it an
implementation bug or a closed formula approximation error? In the
latter case we could jut implement the call using the put value and
the parity constaint

ciao -- Nando

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