## Normalization for Implied Volatility

*Masaaki Fukasawa*;

- Subject: Quantitative Finance - Pricing of Securities | Mathematics - Probabilityacm: 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

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