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• W2225101403 abstract "In this note, Black--Scholes implied volatility is expressed in terms of various optimisation 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 formulae for implied volatility at extreme strikes and/or maturities." @default.
• W2225101403 created "2016-06-24" @default.
• W2225101403 creator A5039454929 @default.
• W2225101403 date "2016-01-01" @default.
• W2225101403 modified "2023-09-26" @default.
• W2225101403 title "Uniform Bounds for Black--Scholes Implied Volatility" @default.
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• W2225101403 doi "https://doi.org/10.1137/14095248x" @default.
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