𝔖 Bobbio Scriptorium
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THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE

✍ Scribed by Masaaki Fukasawa

Book ID
111043233
Publisher
John Wiley and Sons
Year
2011
Tongue
English
Weight
92 KB
Volume
22
Category
Article
ISSN
0960-1627

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πŸ“œ SIMILAR VOLUMES

On martingale diffusions describing the
On martingale diffusions describing the β€˜smile-effect’ for implied volatilities
✍ Hans-Jochen Bartels πŸ“‚ Article πŸ“… 2000 πŸ› John Wiley and Sons 🌐 English βš– 94 KB

This paper discusses di!usion models describing the &smile-e!ect' of implied volatilities for option prices partly following the new approach of Bruno Dupire. If one restricts to the time homogeneous case, a careful study of this approach shows that the call option prices considered as a function of