A closed-form model-free implied volatility formula through delta families
Year of publication: |
2021
|
---|---|
Authors: | Cui, Zhenyu ; Kirkby, Justin ; Nguyen, Duy ; Taylor, Stephen |
Published in: |
The journal of derivatives : JOD. - London : IPR Journals, ISSN 2168-8524, ZDB-ID 2048690-X. - Vol. 28.2021, 4, p. 111-127
|
Subject: | Derivatives | Volatilität | Volatility | Derivat | Derivative | Optionspreistheorie | Option pricing theory |
-
Stentoft, Lars, (2020)
-
Variance swap replication : discrete or continuous?
Le Floc'h, Fabien, (2018)
-
Wu, Tao L., (2011)
- More ...
-
A General Framework for Time-Changed Markov Processes and Applications
Cui, Zhenyu, (2018)
-
Nonparametric Density Estimation by B-spline Duality
Cui, Zhenyu, (2019)
-
Full-fledged SABR through Markov Chains
Cui, Zhenyu, (2019)
- More ...