[Quantlib-dev] [ quantlib-Bugs-3417114 ] BS call option price lower than intrinsic value

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Bugs item #3417114, was opened at 2011-10-02 21:52
Message generated for change (Tracker Item Submitted) made by fancidev
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: R Y (fancidev)
Assigned to: Nobody/Anonymous (nobody)
Summary: BS call option price lower than intrinsic value

Initial Comment:
Compile and run the following program in Visual Studio 2010 produces the bug.

#include <iostream>
#include <ql/pricingengines/blackformula.hpp>

using namespace QuantLib;

static void TestBlackScholesBound()
{
	double F = 1.35;
	double K = 0.39;
	double stdev = 0.12;
	double c = blackFormula(Option::Call, K, F, stdev);
	if (c < (F - K))
	{
		std::cerr << "Error: Option price = " << c << ", Lower Bound = "
			<< (F - K) << std::endl;
	}
}

int main()
{
	TestBlackScholesBound();
	system("PAUSE");
}


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You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3417114&group_id=12740