1.1k citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- Virginia TechUS5 papers
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- Earth Resources Technology (United States)US2 papers
- Johns Hopkins UniversityUS2 papers
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- Ames Research CenterUS1 paper
- AWE Nuclear Security TechnologiesGB1 paper
- Ben-Gurion University of the NegevIL1 paper
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Showing q-fin.PRShow all
2 papers · 1 filter
q-fin.PR2011
A Note on the Equivalence between the Normal and the Lognormal Implied Volatility : A Model Free Approach
Cyril Grunspan
First, we show that implied normal volatility is intimately linked with the incomplete Gamma function. Then, we deduce an expansion on implied normal volatility in terms of the tim…
q-fin.PR2011
Asymptotic Expansions of the Lognormal Implied Volatility : A Model Free Approach
Cyril Grunspan
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 me…