RQuantLib - Options value at maturity
A workaround is instead of maturity =0, pass something very close to zero e.g. maturity=1e-14 Cheers Krishna
On Apr 17, 2014, at 8:54 AM, Pedro Baltazar <pedrobtz at gmail.com> wrote: Hello, why this package gives the value zero, and not (underlying - strike) = 50, at maturity?
EuropeanOption("call", underlying=150, strike=100, dividendYield=0.00, riskFreeRate=0.03, maturity=0.0,volatility=0.2)
Concise summary of valuation for EuropeanOption
value delta gamma vega theta rho divRho
0 0 0 0 0 0 0
Thanks
--
Pedro Baltazar
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