Hello all, I am using the fOptions module in RMetrics to price simple Black-Scholes options. There seems to be an oversight in boundary conditions when the underlying falls exactly on a strike price at maturity, yielding a NaN price for the option (both calls and puts are affected) ::
library(fOptions)
GBSOption("c", 485, 485, 0, 0, 0, 0.23)@price
[1] NaN whereas slight departures from the strike are OK ::
GBSOption("c", 484.999, 485, 0, 0, 0, 0.23)@price
[1] 0
GBSOption("c", 485.001, 485, 0, 0, 0, 0.23)@price
[1] 0.001 I'm using fOptions_290.75 (as returned by sessionInfo()). Has this been corrected in the development branch? Many thanks for any help! + Nicolas Chapados