Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa's pricing formula (Q4554443)
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scientific article; zbMATH DE number 6979480
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| English | Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa's pricing formula |
scientific article; zbMATH DE number 6979480 |
Statements
Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa’s pricing formula (English)
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14 November 2018
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implied volatility
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model-free pricing formulas
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moment generating functions
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power payoffs
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0.7357521057128906
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0.7337589263916016
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0.7325081825256348
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0.73065584897995
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