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Published 20 hours ago • verified publisher icon rcalxrc08

Implied volatility: missing implementation for Taylor1, TaylorN

Open rcalxrc08 opened this issue 3 years ago • 2 comments
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rcalxrc08 avatar Jun 03 '22 08:06 rcalxrc08

This is stopping me from having a C^inf representation (wrt to everything) for implied volatility of more complex models.

rcalxrc08 avatar Jun 03 '22 08:06 rcalxrc08

Taylor1 support looks fine but needs more tests. TaylorN looks far away.

rcalxrc08 avatar Sep 15 '23 10:09 rcalxrc08