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

zbMATH Keywords

implied volatilityvariance swapgamma swapno-arbitrage bounds

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(13)

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

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