Uniform Bounds for Black--Scholes Implied Volatility
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Publication:2953944
DOI10.1137/14095248XzbMath1406.91452arXiv1512.06812OpenAlexW2225101403MaRDI QIDQ2953944
Publication date: 11 January 2017
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1512.06812
Related Items
Implied Volatility of Basket Options at Extreme Strikes ⋮ Option pricing in the moderate deviations regime ⋮ AN EXPLICIT IMPLIED VOLATILITY FORMULA ⋮ TIGHTER BOUNDS FOR IMPLIED VOLATILITY ⋮ EFFECTIVE ASYMPTOTICS ANALYSIS FOR FINANCE ⋮ A Black-Scholes inequality: applications and generalisations ⋮ A PDE method for estimation of implied volatility
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