Asymptotic Expansions of the Lognormal Implied Volatility : A Model Free Approach
AbstractWe invert the Black-Scholes formula. We consider the cases low strike, large strike, short maturity and large maturity. We give explicitly the ?rst 5 terms of the expansions. A method to compute all the terms by induction is also given. At the money, we have a closed form formula for implied lognormal volatility in terms of a power series in call price.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1112.1652.
Date of creation: Dec 2011
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-12-13 (All new papers)
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