Skip to main content
Texas Tech University

Dr. Fabien Le Floc’h

On the Bachelier implied volatility at extreme strikesDr. Fabien Le Floc’h - Nasdsaq

Date:
Friday, Mar. 8, 2024
2:00 PM—3:00 PM
Location:
online

On the Bachelier implied volatility at extreme strikesDr. Fabien Le Floc’h - Nasdsaq

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.