2011/12/07 by Cyril Grunspan, Grunspan, Cyril
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Economic theories and models #FOS: Economics and business #Pricing of Securities (q-fin.PR) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1112.1652
openalex publication_date 2011/12/07 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We invert the Black-Scholes formula. We consider the cases low strike, large strike, short maturity and large maturity. We give explicitly the first 5 terms of the expansions. A method to compute all the terms by induction is also given. At the money, we have a closed form formula for implied lognormal volatility in terms of a power series in call price.