On the Harmonic Mean Representation of the Implied Volatility

DOI10.1137/20M1352120zbMath1461.91311arXiv2007.03585MaRDI QIDQ4988554

Stefano De Marco

Publication date: 17 May 2021

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.03585

zbMATH Keywords

implied volatilityharmonic meanlocal volatilitymodel-free properties

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Harmonic analysis in one variable (42A99)

Cites Work

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• On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
• Arbitrage-free SVI volatility surfaces
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• Asymptotics and calibration of local volatility models
• THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE
• Short-Term At-the-Money Asymptotics under Stochastic Volatility Models
• Pricing under rough volatility
• On the Curvature of the Smile in Stochastic Volatility Models

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