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Showing 1 to 1 of 1 for “"Small expiry asymptotics"”.
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Implied volatility: general properties and asymptotics
… volatility is always, everywhere, and for every expiry well-defined only if the stock price is a non-negative martingale. We also derive sufficient and close to necessary conditions for an implied volatility surface to be free from static arbitrage. In this context, free from static arbitrage …