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- W3206224076 abstract "We provide an alternative proof of monotonicity of normalizing volatility transforms (NVTs) due to Fukasawa (2012), and then obtain a general formula for volatility surface for which the NVTs are increasing. This is used to obtain several results related to butterfly arbitrage and asymptotic behavior of implied volatility for large strikes." @default.
- W3206224076 created "2021-10-25" @default.
- W3206224076 creator A5068738483 @default.
- W3206224076 date "2021-01-01" @default.
- W3206224076 modified "2023-10-13" @default.
- W3206224076 title "Normalizing volatility transforms and general parameterization of volatility smile" @default.
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- W3206224076 doi "https://doi.org/10.2139/ssrn.3835233" @default.
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