Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa’s pricing formula

DOI10.1080/14697688.2017.1348619zbMath1400.91628arXiv1703.00957OpenAlexW2593316592MaRDI QIDQ4554443

Claude Martini, Stefano De Marco

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1703.00957

zbMATH Keywords

implied volatilitymoment generating functionspower payoffsmodel-free pricing formulas

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

No Arbitrage SVI ⋮ The log‐moment formula for implied volatility ⋮ Shapes of Implied Volatility with Positive Mass at Zero ⋮ On the Harmonic Mean Representation of the Implied Volatility

Cites Work

• Can the implied volatility surface move by parallel shifts?
• Arbitrage-free SVI volatility surfaces
• Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
• Vector-valued Laplace Transforms and Cauchy Problems
• Shapes of Implied Volatility with Positive Mass at Zero
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE
• VOLATILITY DERIVATIVES AND MODEL-FREE IMPLIED LEVERAGE
• Unnamed Item

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