Boundary condiiton error
evelynmitchell opened this issue · comments
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"
Here you can see all about Jaeckel's implementation of Black76 which is the core of vollib: http://www.jaeckel.org/LetsBeRational.pdf