The Log Moment formula for implied volatility
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References listed on IDEAS
- Peter Carr & Sander Willems, 2019. "A lognormal type stochastic volatility model with quadratic drift," Papers 1908.07417, arXiv.org.
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- Peter Carr & Liuren Wu, 2003.
"The Finite Moment Log Stable Process and Option Pricing,"
Journal of Finance, American Finance Association, vol. 58(2), pages 753-777, April.
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