Browsing Department of Pure Mathematics and Mathematical Statistics (DPMMS) by Author "Tehranchi, Michael Rummine"

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  • Uniform Bounds for Black--Scholes Implied Volatility 

    Tehranchi, Michael Rummine (Society for Industrial and Applied MathematicsSIAM Journal on Financial Mathematics, 2016-11-29)
    In this note, Black--Scholes implied volatility is expressed in terms of various optimization problems. From these representations, upper and lower bounds are derived which hold uniformly across moneyness and call price. ...