Raval, Vimal; Jacquier, Antoine The log-moment formula for implied volatility. (English) Zbl 07797376 Math. Finance 33, No. 4, 1146-1165 (2023). MSC: 91G20 PDFBibTeX XMLCite \textit{V. Raval} and \textit{A. Jacquier}, Math. Finance 33, No. 4, 1146--1165 (2023; Zbl 07797376) Full Text: DOI arXiv OA License
Tehranchi, Michael R. A Black-Scholes inequality: applications and generalisations. (English) Zbl 1432.91126 Finance Stoch. 24, No. 1, 1-38 (2020). Reviewer: Piotr Jaworski (Warszawa) MSC: 91G20 60G44 91G80 PDFBibTeX XMLCite \textit{M. R. Tehranchi}, Finance Stoch. 24, No. 1, 1--38 (2020; Zbl 1432.91126) Full Text: DOI arXiv
Alfonsi, Aurélien; Krief, David; Tankov, Peter Long-time large deviations for the multiasset Wishart stochastic volatility model and option pricing. (English) Zbl 1433.91166 SIAM J. Financ. Math. 10, No. 4, 942-976 (2019). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G20 60F10 PDFBibTeX XMLCite \textit{A. Alfonsi} et al., SIAM J. Financ. Math. 10, No. 4, 942--976 (2019; Zbl 1433.91166) Full Text: DOI arXiv Link
Tehranchi, Michael R. Uniform bounds for Black-Scholes implied volatility. (English) Zbl 1406.91452 SIAM J. Financ. Math. 7, 893-916 (2016). MSC: 91G20 PDFBibTeX XMLCite \textit{M. R. Tehranchi}, SIAM J. Financ. Math. 7, 893--916 (2016; Zbl 1406.91452) Full Text: DOI arXiv
Guo, Gaoyue; Jacquier, Antoine; Martini, Claude; Neufcourt, Leo Generalized arbitrage-free SVI volatility surfaces. (English) Zbl 1410.91451 SIAM J. Financ. Math. 7, 619-641 (2016). MSC: 91G20 PDFBibTeX XMLCite \textit{G. Guo} et al., SIAM J. Financ. Math. 7, 619--641 (2016; Zbl 1410.91451) Full Text: DOI arXiv