Cyril Grunspan. Asymptotic Expansions of the Lognormal Implied Volatility: A Model Free Approach
Submitted on: Jul 07, 2012, 09:40:47
Social Sciences / Economics / Financial
Description: We invert the Black-Scholes formula. We consider the cases low strike, large strike, short maturity and large maturity. We give explicitly the first 5 terms of the expansions. A method to compute all the terms by induction is also given. At the money, we have a closed form formula for implied lognormal volatility in terms of a power series in call price.
The Library of Congress (USA) reference page : http://lccn.loc.gov/cn2013300046.
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