T tayte Jun 20, 2013 #11 Quote from panzerman: Yes, but NR is a derivative technique. If the price-volatility curve is relatively smooth, such as European style exercise, fine. If the curve has discontinuities, or inflection points, then NR can blow up. More... Then you gotta have a kick-ass initial guess, lol
Quote from panzerman: Yes, but NR is a derivative technique. If the price-volatility curve is relatively smooth, such as European style exercise, fine. If the curve has discontinuities, or inflection points, then NR can blow up. More... Then you gotta have a kick-ass initial guess, lol
