A Closed-Form Model-Free Implied Volatility Formula through Delta Families
In this paper, we derive a closed-form explicit model-free formula for the (Black-Scholes)
implied volatility. The method is based on the novel use of the Dirac Delta function …
implied volatility. The method is based on the novel use of the Dirac Delta function …
[PDF][PDF] A Closed-form Model-free Implied Volatility Formula through Delta Sequences
ZCJ Kirkbyb - researchgate.net
In this paper, we derive a closed-form explicit model-free formula for the (Black-Scholes)
implied volatility. The method is based on the novel use of the Dirac Delta function …
implied volatility. The method is based on the novel use of the Dirac Delta function …