Can there be an explicit formula for implied volatility?

zbMath1315.91062arXiv1211.4978MaRDI QIDQ5415384

Stefan Gerhold

Publication date: 12 May 2014

Full work available at URL: https://arxiv.org/abs/1211.4978

zbMATH Keywords

implied volatility function

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Other functions defined by series and integrals (33E20)

Related Items (3)

TIGHTER BOUNDS FOR IMPLIED VOLATILITY ⋮ Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models ⋮ A PDE method for estimation of implied volatility

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