[Quantlib-dev] [ quantlib-Bugs-1538952 ] CRR Binomial Negative Probability Error

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Bugs item #1538952, was opened at 2006-08-11 14:02
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: CRR Binomial Negative Probability Error

Initial Comment:
When calculating impliedVolatility for an american 
call using the Cox-Ross-Rubinstein Binomial vanilla 
engine, I receive the following error:

"negative probability"


(this also occurs for the "tian" binomial model)

See attached source code, contains parameters and the 
code I'm using (C# via SWIG)


However, when I change to other Binomial models 
(eg: "jr" or "eqp" instead of "crr") this error does 
not occur, and the implied vol is calculated at 
approximately 37.47%

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You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1538952&group_id=12740