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X-WR-CALDESC:Events for Mathematical Finance
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DTSTART:20240310T080000
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DTSTART;TZID=America/Chicago:20240308T140000
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CREATED:20231127T155729Z
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UID:1259-1709906400-1709910000@www.math.ttu.edu
SUMMARY:On the Bachelier implied volatility at extreme strikes
DESCRIPTION:Speaker: Dr. Fabien Le Floc’h\, Nasdsaq\n\nAbstract: 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.
URL:https://www.math.ttu.edu/mathematicalfinance/event/on-the-bachelier-implied-volatility-at-extreme-strikes/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2024
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/12/lefloch.jpg
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