1 citations · 1 across the 11 of their papers we have counts for
11 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…
Stochastic Expansion for the Pricing of Asian and Basket Options
Fabien Le Floc'h
We present closed analytical approximations for the pricing of basket options, also applicable to Asian options with discrete averaging under the Black-Scholes model with time-depe…
Notes on the SWIFT method based on Shannon Wavelets for Option Pricing -- Revisited
Fabien Le Floc'h
This note revisits the SWIFT method based on Shannon wavelets to price European options under models with a known characteristic function in 2023. In particular, it discusses some…
Instabilities of Super-Time-Stepping Methods on the Heston Stochastic Volatility Model
Fabien Le Floc'h
This note explores in more details instabilities of explicit super-time-stepping schemes, such as the Runge-Kutta-Chebyshev or Runge-Kutta-Legendre schemes, noticed in the litterat…
Instabilities of explicit finite difference schemes with ghost points on the diffusion equation
Fabien Le Floc'h
Ghost, or fictitious points allow to capture boundary conditions that are not located on the finite difference grid discretization. We explore in this paper the impact of ghost poi…
The Quadratic Local Variance Gamma Model: an arbitrage-free interpolation of class C3 for option prices
Fabien Le Floc'h
This paper generalizes the local variance gamma model of Carr and Nadtochiy, to a piecewise quadratic local variance function. The formulation encompasses the piecewise linear Bach…
Maximum Implied Variance Slope -- Practical Aspects
Fabien Le Floc'h, Winfried Koller
In the Black-Scholes model, the absence of arbitrages imposes necessary constraints on the slope of the implied variance in terms of log-moneyness, asymptotically for large log-mon…
Roughness of the Implied Volatility
Fabien Le Floc'h
The measures of roughness of the volatility in the litterature are based on the realized volatility of high frequency data. Some authors show that this leads to a biased estimate,…