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

Z Cui, J Kirkby, D Nguyen, SM Taylor - Journal of Derivatives …, 2020 - papers.ssrn.com
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 …

[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 …