论文标题
在Bachelier的含义波动中极端罢工
On the Bachelier implied volatility at extreme strikes
论文作者
论文摘要
什么样的隐含波动性外推是合适的？罗杰·李（Roger Lee）证明，黑色 - choles的差异不能比线性货币线性线性更快。本文调查了Bachelier（或正常）暗示的波动世界中发生的情况，并确保涵盖Vanilla选项套利的各个方面。
What kind of implied volatility extrapolation is appropriate? 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.
