From my point of view, you need to carefully read lib / Zend / Currency.php
Further research you will need to adjust the accuracy to 4 instead of 2:
http://framework.zend.com/manual/1.12/en/zend.currency.options.html
( edit: updated link to the latest available version)
In this thread there is more detailed information about the implementation such as well, it seems that Magento also does some formatting of the price there too:
http://www.magentocommerce.com/boards/viewthread/16337/
Application / code / kernel /Mage/Adminhtml/Block/Catalog/product/Helper/Form/Price.php
return number_format($value, 4, null, '');
I know this is not the final answer, but I hope it will lead you in the right direction.
B00MER
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