The normalizing transformation of the implied volatility smile (Q4919620)
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scientific article; zbMATH DE number 6163076
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| 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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0.7770946621894836
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0.7743152976036072
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