THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE¶
Bibliographic record. Follow the original-source link for the publication.
| Field | Value |
|---|---|
| Primary domain | Volatility |
| Other domains | — |
| Methods | — |
| Facets | — |
| Authors | Masaaki Fukasawa |
| Published | 2011-06-05 |
| Source | Mathematical Finance |
| Identifiers | doi:10.1111/j.1467-9965.2011.00483.x |
| URL | Open original source |
Editorial synthesis¶
Why it matters¶
The study uses nonlinear transformations of Black–Scholes implied volatility to connect volatility-smile representations, no-arbitrage skew bounds, and pricing of European payoffs. (abstract:S1, abstract:S2, abstract:S3)
Main author claims¶
- The authors study selected nonlinear transformations of Black–Scholes implied volatility and claim that they reveal notable properties of the volatility surface. (
abstract:S1) - The authors provide no-arbitrage bounds for the implied-volatility skew. (
abstract:S2) - The authors give pricing formulas for European payoffs in terms of the implied-volatility smile. (
abstract:S3)
Data, method, or discussion scope¶
The supplied material consists of three abstract sentences covering nonlinear transformations, skew bounds, and European-payoff pricing formulas, without theorem conditions or empirical applications. (abstract:S1, abstract:S2, abstract:S3)
Main limitations¶
The abstract omits the transformation formulas, conditions for the bounds, numerical stability, and market-data tests, so implementation readiness cannot be assessed. (abstract:S1, abstract:S2, abstract:S3)
Relationships¶
- None recorded.