Can there be an explicit formula for implied volatility?
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References listed on IDEAS
- Michael Roper & Marek Rutkowski, 2009. "On The Relationship Between The Call Price Surface And The Implied Volatility Surface Close To Expiry," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(04), pages 427-441.
- Martin Schweizer & Johannes Wissel, 2008. "Term Structures Of Implied Volatilities: Absence Of Arbitrage And Existence Results," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 77-114, January.
- Martin Forde & Antoine Jacquier, 2009. "Small-Time Asymptotics For Implied Volatility Under The Heston Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(06), pages 861-876.
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Cited by:
- Don M. Chance & Thomas A. Hanson & Weiping Li & Jayaram Muthuswamy, 2017. "A bias in the volatility smile," Review of Derivatives Research, Springer, vol. 20(1), pages 47-90, April.
- Yixiao Lu & Yihong Wang & Tinggan Yang, 2021. "Adaptive Gradient Descent Methods for Computing Implied Volatility," Papers 2108.07035, arXiv.org, revised Mar 2023.
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