Volatility for option_price_zero_vol changed from 0 to 1e-12 to avoid…

… numerical problems
ahudde · Aug 31, 2023 · bb0eec7 · bb0eec7
1 parent bd35309
commit bb0eec7
Showing 1 changed file with 1 addition and 1 deletion.
diff --git a/R/BS_Implied_Volatility.R b/R/BS_Implied_Volatility.R
@@ -43,7 +43,7 @@ BS_Implied_Volatility <-
         exercise_price = exercise_price,
         r = r,
         time_to_maturity = time_to_maturity,
-        volatility = 0,
+        volatility = 1e-12,
         dividend_yield = dividend_yield,
         payoff = payoff,
         greek = "fair_value"