I'm implementing a bunch of different algorithms to price options/find Greeks: finite difference, Monte Carlo, binomial...
I'm not really sure how to check my calculations. I tried using QuantLib to price things for me, but it seems to use actual dates a lot (whereas I'm just interested in year fractions) and the documentation is lacking.
I implemented a finite difference algorithm as described in Wilmott's "Mathematics of Financial Derivatives" and he has some numbers in his book. But my "implementation" of just the analytical Black-Scholes formula already gives different results than his (not by much though).
Again, I just typed up the down and out call option formula from Zhang's Exotic options. He actually goes through explicit examples for each of his formulas.
But for a down and out call with $S = 100$, $K= 92$, $H = 95$, $r = 0.08$, $q = 0.03$, $\sigma = 0.2$, $\tau = 0.5$ he gets \$6.936 and I get \$6.908.
So my question is, what is your go to reference for option prices for checking your code?