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- W3124659832 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." @default.
- W3124659832 created "2021-02-01" @default.
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- W3124659832 date "2011-12-01" @default.
- W3124659832 modified "2023-09-27" @default.
- W3124659832 title "Asymptotic Expansions of the Lognormal Implied Volatility : A Model Free Approach" @default.
- W3124659832 hasPublicationYear "2011" @default.
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