[R-sig-finance] RollGeskeWhaleyOption with maturity time close to 0

[Shing Hing Man]

Hi,
I have used RollGeskeWhaleyOption
from the package fOptions with the following
paremeters. (It is for an American call option
with maturity close to time 0 and a dividend paid
at close to time 0.)


RollGeskeWhaleyOption(S = 90, X = 78, time1 = 0.001,
     Time2 = 0.01, r = 0, D =5, sigma = 0.2)


The returned answer was 12.
Should it be something close to  7 ( 90 - 78 - 5) ?

My version of fOptions is from the tar file
fOptions_200.10058.tar.gz .

Any assistance would be appreciated.

Shing Hing Man


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