[Quantlib-users] Re: FdDividendAmericanOption

[Joseph W. <jo...@co...>]

I'm suspecting that rescaling the terms causes the operator to break.  
Attached is a proposed
fix that calculates BSMOperator from a flexible grid, that seems to 
cause the numbers to
be more reasonable......

assetSteps=20 price=2.17038 delta=0.518664 vega=7.74307
assetSteps=40 price=2.16897 delta=0.516824 vega=7.71849
assetSteps=60 price=2.21022 delta=0.534935 vega=7.28234
assetSteps=70 price=2.22188 delta=0.590997 vega=8.0055
assetSteps=80 price=2.20972 delta=0.580363 vega=7.96264
assetSteps=100 price=2.19306 delta=0.560017 vega=7.90149