THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE (Q4919620): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00483.x / rank | |||
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| Property / cites work: Can the implied volatility surface move by parallel shifts? / rank | |||
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Latest revision as of 10:15, 6 July 2024
scientific article; zbMATH DE number 6163076
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE |
scientific article; zbMATH DE number 6163076 |
Statements
THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE (English)
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14 May 2013
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implied volatility
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no-arbitrage bounds
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variance swap
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gamma swap
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