نتایج جستجو برای: implied volatility

تعداد نتایج: 38511  

Journal: :Journal of Algorithms & Computational Technology 2017

Journal: :International Journal of Theoretical and Applied Finance 2014

Journal: :SIAM Journal on Financial Mathematics 2016

Journal: :International Review of Financial Analysis 2020

Journal: :Social Science Research Network 2021

We revisit the foundational Moment Formula proved by Roger Lee fifteen years ago. show that when underlying stock price martingale admits finite log-moments E[|log (S)|^q] for some positive q, arbitrage-free growth in left wing of implied volatility smile is less constrained than Lee's bound. The result rationalised a market trading discretely monitored variance swaps wherein payoff function sq...

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