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

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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)

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

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