Normalization for Implied Volatility

Preprint English OPEN
Masaaki Fukasawa;
  • Subject: Quantitative Finance - Pricing of Securities | Mathematics - Probability
    acm: ComputingMilieux_GENERAL | Hardware_MEMORYSTRUCTURES

We study specific nonlinear transformations of the Black-Scholes implied volatility to show remarkable properties of the volatility surface. Model-free bounds on the implied volatility skew are given. Pricing formulas for the European options which are written in terms ... View more
  • References (7)

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    [7] Rogers, L.C.G. and Tehranchi, M.R. (2010): Can the implied volatility surface move by parallel shifts? Finance Stoch. 14: 235-248.

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