|
|
Hi all
just in case someone will search the archives in the future about problems
with the impliedVolatility method, here are 2 warnings:
1) options with a gamma that changes sign have values that are NOT
monotonic in the volatility, e.g binary options. In these cases
impliedVolatility can fail and in any case it is almost
meaningless.
2) Another possible source of failure is to have a targetValue that is not
attainable with any volatility, e.g. a targetValue lower than the intrinsic
value in the case of American options.
ciao -- Nando
|
Locked
