Added Monte-Carlo error tolerance.
@@ -311,7 +311,7 @@ public class BlackScholesMonteCarloValuationTest {
System.out.println("Value of Bermudan Option is \t" + "(" + valueOfBermudanOptionLowerBound + "," + valueOfBermudanOptionUpperBound + ")");
Assert.assertTrue(valueOfAsianOption < valueOfEuropeanOption);
- Assert.assertTrue(valueOfBermudanOptionLowerBound < valueOfBermudanOptionUpperBound);
+ Assert.assertTrue(valueOfBermudanOptionLowerBound < valueOfBermudanOptionUpperBound+1E-2);
Assert.assertTrue(valueOfEuropeanOption < valueOfBermudanOptionUpperBound);
}
