The log‐moment formula for implied volatility
From MaRDI portal
Publication:6187368
DOI10.1111/MAFI.12396arXiv2101.08145OpenAlexW3135647859MaRDI QIDQ6187368
Publication date: 31 January 2024
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2101.08145
Cites Work
- Unnamed Item
- Analytically tractable stochastic stock price models.
- Large deviations and asymptotic methods in finance
- Correlations and bounds for stochastic volatility models
- Statistical properties of the generalized inverse Gaussian distribution
- On the Lambert \(w\) function
- Model-free stochastic collocation for an arbitrage-free implied volatility. I.
- Generalized Arbitrage-Free SVI Volatility Surfaces
- Arbitrage-free SVI volatility surfaces
- ASYMPTOTIC EQUIVALENCE IN LEE'S MOMENT FORMULAS FOR THE IMPLIED VOLATILITY, ASSET PRICE MODELS WITHOUT MOMENT EXPLOSIONS, AND PITERBARG'S CONJECTURE
- ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS
- THE RANGE OF TRADED OPTION PRICES
- REGULAR VARIATION AND SMILE ASYMPTOTICS
- THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
- Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions
- Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa’s pricing formula
- Shapes of Implied Volatility with Positive Mass at Zero
- Implied Volatility in Strict Local Martingale Models
- THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
- THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE
- No Arbitrage SVI
- LEFT-WING ASYMPTOTICS OF THE IMPLIED VOLATILITY IN THE PRESENCE OF ATOMS
- Smile Asymptotics II: Models with Known Moment Generating Functions
- No arbitrage global parametrization for the eSSVI volatility surface
This page was built for publication: The log‐moment formula for implied volatility
