QuoteOriginally posted by: PolterWell, Cuch, the underlying could reach 0.0 ;-)The option pricer had better take this into account (with the legal caveats amplifying the fun factor, as usual):http://investorplace.com/2011/04/option ... es/Dangers
of Owning Puts Without Owning the StockIndeed. But does this necessarily mean that the algorithm should support the case S = 0? The software supplier could say:"If you provide S > 0 (require) I ensure that I will give you a price. I do not support S = 0". We hit a stone wall with log(S/K) when S = 0. Decisions.