Re: re "BS call option price lower than intrinsic value

Posted by Keith A. Lewis on Oct 04, 2011; 12:14am
URL: http://quantlib.414.s1.nabble.com/Re-re-BS-call-option-price-lower-than-intrinsic-value-tp9134.html

Regarding floating point comparison, Units in the Last Place is very efficient and takes scale into account. ftp://ftp.inria.fr/INRIA/publication/publi-pdf/RR/RR-5504.pdf is an excellent reference.

 

In boost Math it is called float_distance. Here is a simple C implementation: http://xllfloat.codeplex.com/SourceControl/changeset/view/9774#135918.

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