[R-SIG-Finance] PTSingleAssetBarrierOption gives different value from example in book by Haug

[Shing Hing Man]

I am using version  2110.77 of package fExoticOptions.

I am trying to validate an  example on page 79 in the book

    The complete guide to option pricing formulas, Haug,  1997

using PTSingleAssetBarrierOption.


> PTSingleAssetBarrierOption(TypeFlag = "coB1", S = 95, X = 110,
+ H = 100, time1 = 0.5, Time2 = 1, r = 0.20, b = 0.20,
+ sigma = 0.25)

Title:
 Partial Time Single Asset Barrier Option 

Call:
 PTSingleAssetBarrierOption(TypeFlag = "coB1", S = 95, X = 110, 
     H = 100, time1 = 0.5, Time2 = 1, r = 0.2, b = 0.2, sigma = 0.25)

Parameters:
          Value:
 TypeFlag coB1  
 S        95    
 X        110   
 H        100   
 time1    0.5   
 Time2    1     
 r        0.2   
 b        0.2   
 sigma    0.25  

Option Price:
 9.69503 

Description:
 Sat Nov 13 17:34:52 2010 

> 

In the book by Haug (plese see row 2 in the table 2-11 on  page 79), the pv is 5.8712.

Is this a bug or is there something wrong with my parameters ?

Thanks in advance for any assistance !

Shing