Probabilistic interpretation of black implied volatility

DOI10.1142/9789811259142_0003zbMATH Open1544.91314MaRDI QIDQ6599178FDOQ6599178

Peter Carr, Y. Zhang, Liuren Wu

Publication date: 6 September 2024

zbMATH Keywords

implied volatilityprobabilistic interpretationimplied varianceimplied volatility smilefinancial interpretation

Mathematics Subject Classification ID

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

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