A Closed-Form Model-Free Implied Volatility Formula through Delta Families

Zhenyu Cui, Justin Kirkby, Duy Nguyen and Stephen Taylor
The Journal of Derivatives Summer 2021, 28 (4) 111-127; DOI: https://doi.org/10.3905/jod.2020.1.127

Article Information

vol. 28 no. 4 111-127
DOI 
https://doi.org/10.3905/jod.2020.1.127
Published By 
Pageant Media Ltd
Print ISSN 
1074-1240
Online ISSN 
2168-8524
History 
  • Published online June 1, 2021.

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Copyright & Usage 
© 2020 Pageant Media Ltd

Author Information

  1. Zhenyu Cui
    1. is an assistant professor in the School of Business at Stevens Institute of Technology in Hoboken, NJ. (zcui6{at}stevens.edu)
  2. Justin Kirkby
    1. received his PhD in operations research in 2016 from the ISYE department at Georgia Institute of Technology in Atlanta, GA. (jkirkby3{at}gatech.edu)
  3. Duy Nguyen
    1. is an assistant professor in the Department of Mathematics at Marist College in Poughkeepsie, NY. (nducduy{at}gmail.com)
  4. Stephen Taylor
    1. is an assistant professor of finance and chair of the fintech and data analysis department at in the Martin Tuchman School of Management at the New Jersey Institute of Technology in City, NJ. (smt{at}njit.edu)
  1. To order reprints of this article, please contact David Rowe at d.rowe{at}pageantmedia.com or 646-891-2157.
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A Closed-Form Model-Free Implied Volatility Formula through Delta Families
Zhenyu Cui, Justin Kirkby, Duy Nguyen, Stephen Taylor
The Journal of Derivatives May 2021, 28 (4) 111-127; DOI: 10.3905/jod.2020.1.127
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