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On the Bachelier implied volatility at extreme strikesDr. Fabien Le Floc’h - Nasdsaq
Date:
Friday, Mar. 8, 2024
2:00 PM—3:00 PMLocation:
online
Friday, Mar. 8, 2024
2:00 PM—3:00 PMLocation:
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.
Department of Mathematics & Statistics
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