The normalizing transformation of the implied volatility smile

DOI10.1111/J.1467-9965.2011.00483.XzbMATH Open1272.91121OpenAlexW1497849985MaRDI QIDQ4919620FDOQ4919620

Authors: Masaaki Fukasawa 

Publication date: 14 May 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00483.x

Recommendations

• scientific article; zbMATH DE number 1222810
• scientific article; zbMATH DE number 2163514
• scientific article; zbMATH DE number 1724293
• The implied volatility smirk
• Asymptotics of implied volatility to arbitrary order

zbMATH Keywords

implied volatilityvariance swapgamma swapno-arbitrage bounds

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• Can the implied volatility surface move by parallel shifts?

Cited In (12)

• Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa's pricing formula
• Short-term at-the-money asymptotics under stochastic volatility models
• Shapes of implied volatility with positive mass at zero
• Exponentiation of conditional expectations under stochastic volatility
• The log‐moment formula for implied volatility
• No arbitrage global parametrization for the eSSVI volatility surface
• On the harmonic mean representation of the implied volatility
• Realized cumulants for martingales
• The survival probability of the SABR model: asymptotics and application
• No arbitrage SVI
• VOLATILITY DERIVATIVES AND MODEL-FREE IMPLIED LEVERAGE
• The SINC way: a fast and accurate approach to Fourier pricing

This page was built for publication: The normalizing transformation of the implied volatility smile

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4919620)