A closed-form model-free implied volatility formula through delta families

Keyphrases

• Change of Variables 100%
• Closed-form Model 100%
• Implied Volatility 100%
• Model-free Implied Volatility 100%
• Inverse Problem 50%
• Numerical Experiments 50%
• Model Use 50%
• Explicit Formula 50%
• Heston Model 50%
• Infinite Series 50%
• Dirac delta Function 50%
• Explicit Model 50%
• Black-Scholes Implied Volatility 50%
• Data Generating Process 50%
• Elementary Functions 50%
• Stochastic Volatility 50%
• Proposed Equations 50%
• Benchmark Case 50%

Mathematics

• Closed Form 100%
• Implied Volatility 100%
• Stochastics 25%
• Numerical Experiment 25%
• Heston Model 25%
• Explicit Formula 25%
• Infinite Series 25%
• Stochastic Volatility 25%
• Solve Inverse Problem 25%
• Elementary Function 25%
• Dirac Delta Function 25%