Article2011

THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE

35 citations0/0 files storedMathematical Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

We study specific nonlinear transformations of the Black–Scholes 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.

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References

2006The Volatility Surface: A Practitioner's Guide 2004THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES 2009Volatility Derivatives 2011Variance swaps on time-changed Lévy processes 2008Can the implied volatility surface move by parallel shifts?

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2017Exponentiation of Conditional Expectations Under Stochastic Volatility 2017Shapes of Implied Volatility with Positive Mass at Zero

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