THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE

DOI10.1111/j.1467-9965.2011.00483.xzbMath1272.91121OpenAlexW1497849985MaRDI QIDQ4919620

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

zbMATH Keywords

implied volatilityvariance swapgamma swapno-arbitrage bounds

Mathematics Subject Classification ID

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

Related Items (12)

No Arbitrage SVI ⋮ Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa’s pricing formula ⋮ The SINC way: a fast and accurate approach to Fourier pricing ⋮ No arbitrage global parametrization for the eSSVI volatility surface ⋮ The log‐moment formula for implied volatility ⋮ Shapes of Implied Volatility with Positive Mass at Zero ⋮ The survival probability of the SABR model: asymptotics and application ⋮ VOLATILITY DERIVATIVES AND MODEL-FREE IMPLIED LEVERAGE ⋮ Exponentiation of conditional expectations under stochastic volatility ⋮ Short-Term At-the-Money Asymptotics under Stochastic Volatility Models ⋮ Realized cumulants for martingales ⋮ On the Harmonic Mean Representation of the Implied Volatility

Cites Work

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

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