Re: [Quantlib-dev] implied blows up for binary option

[Ferdinando A. <fer...@am...>]

Two more warnings:
1) impliedVol usually fails when the option's value is not attainable with 
any volatility value (e.g. a value less than the intrinsic value for an 
american option)
2) even if a root exists with binary options you're not guaranteed 
impliedVol will find it. This is because contracts with a gamma that 
changes sign have values that are not monotonic in the volatility.

I'm going to add these 2 warning to the Doxygen documentation

ciao -- Nando


At 09:48 AM 2/26/02 +0000, Luigi Ballabio wrote:
>At 09:25 PM 2/25/02 -0600, Dirk Eddelbuettel wrote:
>>Playing with binaries, I noticed that implied Vol calculations abort:
>>I don't understand why. Should somebody comment?
>
>Well, between you and me and the other developers, BinaryOption is _so_ 
>smart (not) that it caches its value and doesn't change it even though its 
>volatility is changed. Of course this makes it kind of difficult to solve 
>for its implied volatility...
>
>I'm going to fix it this morning. Thanks for the report.
>
>Bye,
>         Luigi
>
>
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