How To Fix T0450 - Accuracy of price calculation for American option is restricted

SAP Error Message - Details

• Message type: E = Error

• Message class: T0 - General Treasury

• Message number: 450

• Message text: Accuracy of price calculation for American option is restricted

Trados memory = TR

What causes this issue?

In extreme cases (either the option is far out-of-the-money, has a very
short remaining term, or has a very low volatility), the result is less
accurate.
The price calculator for American options builds 2 binomial trees with
the internally defined intervals and with halved intervals. When this
warning appears, the relative absolute difference between the result
values for both binomial trees is greater than 1/10. The result given by
the price calculator is based on an extrapolation of these two result
values. The extrapolated (output) result is usually more accurate to 1
or 2 decimal places than an individual result value.

System Response

The system issues an error message and will not allow you to continue with this transaction until the error is resolved.

How to fix this error?

Check whether the deviations from the actual value are relevant.
This warning should only appear in exceptional cases. If the warning
appears frequently, create an OSS message.

Procedure for System Administrators

Error message extract from SAP system. Copyright SAP SE.