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The log‐moment formula for implied volatility - MaRDI portal

The log‐moment formula for implied volatility (Q6187368)

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scientific article; zbMATH DE number 7797376
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English
The log‐moment formula for implied volatility
scientific article; zbMATH DE number 7797376

    Statements

    title
    The log‐moment formula for implied volatility (English)
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    author
    Vimal Raval
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    Antoine Jacquier
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    publication date
    31 January 2024
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    zbMATH Keywords
    implied volatility
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    moment formula
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    variance swaps
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    cites work
    No Arbitrage SVI
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    Q4937701
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    Identifiers

    arXiv ID
    2101.08145
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    DOI
    10.1111/mafi.12396
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    zbMATH DE Number
    7797376
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    OpenAlex ID
    W3135647859
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