Loading Events

« All Events

  • This event has passed.

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.

Details

Date:
March 8, 2024
Time:
2:00 pm - 3:00 pm CST
Event Categories:
,
View Event Website

Venue

via Zoom