Posted by
Luigi Ballabio on
Mar 08, 2010; 2:10pm
URL: http://quantlib.414.s1.nabble.com/Delta-and-Gamma-of-FD-american-Option-tp6478p6484.html
On Tue, 2010-03-02 at 17:06 -0600, ravi agrawal wrote:
> To be precise am getting these values of delta and gamma only when
> volatility is 0%.
Looks like a division by zero or something like it. Can you try running
the thing through a debugger?
Later,
Luigi
> On Tue, Mar 2, 2010 at 3:23 PM, ravi agrawal
> <
[hidden email]> wrote:
> Hi,
> Where are the greeks for American Option using finite
> differences calculated?
> At many places am getting americanOption.delta() and
> americanOption.gamma() as -1.#IND 1.#QNB respectively.
> Any help would be appreciated.
>
> Thanks
> Ravi
>
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