Asymptotic Expansions of the Lognormal Implied Volatility : A Model Free Approach
Pricing of Securities
2016-11-25 v1
Abstract
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.
Keywords
Cite
@article{arxiv.1112.1652,
title = {Asymptotic Expansions of the Lognormal Implied Volatility : A Model Free Approach},
author = {Cyril Grunspan},
journal= {arXiv preprint arXiv:1112.1652},
year = {2016}
}
Comments
18 pages