2 papers
q-fin.PR2021
The Log Moment formula for implied volatility
Vimal Raval, Antoine Jacquier
We revisit the foundational Moment Formula proved by Roger Lee fifteen years ago. We show that when the underlying stock price martingale admits finite log-moments E[|log(S)|^q] fo…
q-fin.PR2010
Arbitrage Bounds for Prices of Weighted Variance Swaps
Mark H. A. Davis, Jan Obloj, Vimal Raval
We develop robust pricing and hedging of a weighted variance swap when market prices for a finite number of co--maturing put options are given. We assume the given prices do not ad…