2 ms·
You can just input diff IVs for BS for diff strikes, you don't have to actually ditch BS. After all vol is the free parameter for BS That being said, not an e
by smabie 3y ago
You can just input diff IVs for BS for diff strikes, you don't have to actually ditch BS.
After all vol is the free parameter for BS
That being said, not an expert on non-d1 products so I could be wrong about how this is dealt with in practice