THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE-Reference-Cited by-同舟云学术

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THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE

Published:2011-06-05 Issue:4 Volume:22 Page:753-762
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:

Author:

Fukasawa Masaaki

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9965.2011.00483.x/fullpdf

Reference7 articles.

1. Volatility Derivatives;Carr;Annu. Rev. Finan. Econ.,2009

2. Variance Swaps on Time-Changed Lévy Processes;Carr;Finance Stoch.,2011

3. Market Risk for Volatility and Variance Swaps;Chriss;Risk,1999

4. Davis , M. J. Obloj V. Raval 2010 Arbitrage Bounds for Weighted Variance Swap Prices

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2. Smiles in delta;Quantitative Finance;2023-10-03

3. The log‐moment formula for implied volatility;Mathematical Finance;2023-05-11

4. Refined analysis of the no-butterfly-arbitrage domain for SSVI slices;Journal of Computational Finance;2023

5. No arbitrage global parametrization for the eSSVI volatility surface;Quantitative Finance;2022-09-15

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