Normalizing Volatility Transforms and General Parameterization of Volatility Smile

We provide an alternative proof of monotonicity of normalizing volatility transforms (NVTs) due to Fukasawa (2012), and then obtain a general formula for volatility surface for which the NVTs are increasing. This is used to obtain several results related to butterfly arbitrage and asymptotic behavior of implied volatility for large strikes

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Year of publication:	[2021]
Authors:	Lucic, Vladimir
Publisher:	[S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Optionspreistheorie \| Option pricing theory \| Stochastischer Prozess \| Stochastic process

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