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Exact Formula for Implied Volatility

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psyduck
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Joined: January 15th, 2011, 9:12 pm

Exact Formula for Implied Volatility

July 5th, 2012, 10:09 pm

Hmm...I found this interesting. For exponential Levy processes, somebody has posted an exact formula for the implied volatility smile. The derivation is very easy to follow. http://arxiv.org/abs/1207.0233
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stonybrooknick
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Joined: January 24th, 2011, 4:37 pm

Exact Formula for Implied Volatility

July 23rd, 2012, 4:08 pm

interesting altough it was only the simplified case of CTS
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aaa10
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Joined: February 19th, 2013, 8:15 am

Exact Formula for Implied Volatility

February 20th, 2013, 6:50 am

Does this result hold for additive processes too?
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