I have Haug's book and I've used it to code my own option valuation
functions in R- and I've come across discrepancies like the one you've
pointed out in the past. Unfortunately, my copy of the book is at my
workplace and I'm in no position to get it tonight. I hate to do this to
you, but can you copy and paste the VBA code into an email and send it?
I'll try to run a comparison of the two to see what the problem is.

In general, Haug's book is *really* useful, but there are niggling
errors and discrepancies that pop up here and there when comparing the
implementations in the Rmetrics suite. I'm not saying one or the other
is better or worse; there are just differences sometimes that have to be
reconciled.

On Sat, 2010-11-13 at 10:02 -0800, Shing Hing Man wrote:

> 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
> 
> 
> 
> 
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