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On the Bachelier implied volatility at extreme strikes
March 8, 2024 @ 2:00 pm - 3:00 pm CST

Speaker: Dr. Fabien Le Floc’h, Nasdsaq
Abstract: Roger Lee proved that the Black-Scholes implied variance can not grow faster than linearly in log-moneyness. This paper investigates what happens in the Bachelier (or Normal) implied volatility world, making sure to cover the various aspects of vanilla option arbitrages.