Show simple item record

dc.contributor.authorTehranchi, Michaelen
dc.date.accessioned2016-10-27T09:57:52Z
dc.date.available2016-10-27T09:57:52Z
dc.date.issued2016-11-29en
dc.identifier.issn1945-497X
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/260929
dc.description.abstractIn this note, Black--Scholes implied volatility is expressed in terms of various optimization problems. From these representations, upper and lower bounds are derived which hold uniformly across moneyness and call price. Various symmetries of the Black--Scholes formula are exploited to derive new bounds from old. These bounds are used to reprove asymptotic formulas for implied volatility at extreme strikes and/or maturities.
dc.languageEnglishen
dc.language.isoenen
dc.publisherSociety for Industrial and Applied Mathematics
dc.titleUniform Bounds for Black--Scholes Implied Volatilityen
dc.typeArticle
dc.description.versionthe Society for Industrial and Applied Mathematics 10.1137/14095248Xen
prism.endingPage916
prism.publicationDate2016en
prism.publicationNameSIAM Journal on Financial Mathematicsen
prism.startingPage893
prism.volume7en
dc.identifier.doi10.17863/CAM.6049
dcterms.dateAccepted2016-08-30en
rioxxterms.versionofrecord10.1137/14095248Xen
rioxxterms.versionAMen
rioxxterms.licenseref.urihttp://www.rioxx.net/licenses/all-rights-reserveden
rioxxterms.licenseref.startdate2016-11-29en
dc.identifier.eissn1945-497X
rioxxterms.typeJournal Article/Reviewen


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record