The normalizing transformation of the implied volatility smile

DOI10.1111/J.1467-9965.2011.00483.XMaRDI QIDQ4919620zbMATH OpenOpenAlexFDO

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

gamma swapimplied volatilityno-arbitrage boundsvariance swap

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

(15)

• Realized cumulants for martingales
• Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa's pricing formula
• 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
• On the harmonic mean representation of the implied volatility
• No arbitrage SVI
• The SINC way: a fast and accurate approach to Fourier pricing
• Exponentiation of conditional expectations under stochastic volatility
• VOLATILITY DERIVATIVES AND MODEL-FREE IMPLIED LEVERAGE
• Smiles in delta
• No arbitrage global parametrization for the eSSVI volatility surface
• The log‐moment formula for implied volatility
• A general moment formula
• When are option prices \(\mathrm{TP}_2\)?

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