Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa’s pricing formula
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Publication:4554443
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
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
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