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Boundary condiiton error #16

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evelynmitchell opened this issue Jun 13, 2021 · 1 comment

evelynmitchell commented Jun 13, 2021

via: https://twitter.com/TheSpeculator0/status/1403880012831498240
the arbitrage boundary conditions are slightly wrong for the black76 version. Does not take funding of premium into account when looking at "intrinsic"

Contributor

lbrichards commented Jun 7, 2023

Here you can see all about Jaeckel's implementation of Black76 which is the core of vollib: http://www.jaeckel.org/LetsBeRational.pdf

lbrichards closed this as completed

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