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Alex C
Alex C
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Reasonable Minimum Value Bjerksund and Stensland model, reasonable minimum value for Volatility?

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skoestlmeier
skoestlmeier
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I am looking at an implementation Bjerksund and Stenslandof Bjerksund and Stensland (2006), and notice that it doesn't work well for very small volatilities. What is a reasonable minimum volatility to use in an algorithm for calculating the implied volatility?

I am looking at an implementation Bjerksund and Stensland, and notice that it doesn't work well for very small volatilities. What is a reasonable minimum volatility to use in an algorithm for calculating the implied volatility?

I am looking at an implementation of Bjerksund and Stensland (2006), and notice that it doesn't work well for very small volatilities. What is a reasonable minimum volatility to use in an algorithm for calculating the implied volatility?

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Franchesca
Franchesca
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Reasonable Minimum Value for Volatility?

I am looking at an implementation Bjerksund and Stensland, and notice that it doesn't work well for very small volatilities. What is a reasonable minimum volatility to use in an algorithm for calculating the implied volatility?