THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE

被引：15

作者：

Fukasawa, Masaaki ^{[1
]}

机构：

[1] Osaka Univ, Ctr Study Finance & Insurance, Osaka 5608531, Japan

来源：

MATHEMATICAL FINANCE | 2012年 / 22卷 / 04期

关键词：

implied volatility; no arbitrage bounds; variance swap; gamma swap;

D O I：

10.1111/j.1467-9965.2011.00483.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study specific nonlinear transformations of the BlackScholes implied volatility to show remarkable properties of the volatility surface. No arbitrage bounds on the implied volatility skew are given. Pricing formulas for European payoffs are given in terms of the implied volatility smile.

引用

页码：753 / 762

页数：10

共 7 条

[1] Variance swaps on time-changed Levy processes [J].

Carr, Peter ;

Lee, Roger ;

Wu, Liuren .

FINANCE AND STOCHASTICS, 2012, 16 (02) :335-355

[2] Volatility Derivatives [J].

Carr, Peter ;

Lee, Roger .

ANNUAL REVIEW OF FINANCIAL ECONOMICS, 2009, 1 :319-339

[3]

Chriss N., 1999, Risk

[4]

Davis M., 2010, ARXIV10012678

[5]

Gatheral J., 2006, VOLATILITY SURFACE P

[6] The moment formula for implied volatility at extreme strikes [J].

Lee, RW .

MATHEMATICAL FINANCE, 2004, 14 (03) :469-480

[7] Can the implied volatility surface move by parallel shifts? [J].

Rogers, L. C. G. ;

Tehranchi, M. R. .

FINANCE AND STOCHASTICS, 2010, 14 (02) :235-248

← 1 →