[Quantlib-dev] [ quantlib-Patches-2998228 ] Gap option

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Patches item #2998228, was opened at 2010-05-07 17:56
Message generated for change (Tracker Item Submitted) made by hachemidxp
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Hachemi Benyahia (hachemidxp)
Assigned to: Nobody/Anonymous (nobody)
Summary: Gap option

Initial Comment:
Digital gap option with an analytic engine.
A negative NPV is possible.
see:E.G. Haug p. 174 and 175

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