8 papers
Explicit Rational Formulae for Bachelier (Normal) Implied Volatility
Fabien Le Floc'h
We present two explicit rational formulae for Bachelier, or normal, implied volatility. The formulae take the option price, forward, strike, and expiry as inputs and return the imp…
A Practical Guide to Strip Caplet Volatilities
Fabien Le Floc'h
We study caplet stripping, the problem of recovering a caplet volatility term structure consistent with quoted cap volatilities. Many academic papers on the Libor market model assu…
Implying Volatility: How Fast Can We Go?
Fabien Le Floc'h, Jherek Healy
FlashIV is a low-latency Black--Scholes implied-volatility solver for production use. It normalises each input to an out-of-the-money price and solves a tail-stable erfcx/log-price…
Faster Monotone Implied Volatility Solver
Fabien Le Floc'h
We present ThiopheneIV, a Black-Scholes implied-volatility solver with a monotone core and explicit production guards. The solver starts from the simple Choi-Huh-Su L3 lower-bound…
How to choose my stochastic volatility parameters? A review
Fabien Le Floc'h
Based on the existing literature, this article presents the different ways of choosing the parameters of stochastic volatility models in general, in the context of pricing financia…
Revisiting Stochastic Collocation with Exponential Splines for an Arbitrage-Free Interpolation of Option Prices
Fabien Le Floc'h
We revisit the stochastic collocation method using the exponential of a quadratic spline. In particular, we look in details whether it is more appropriate to fix the ordinates and…