Robust Volatility Index Calculation with OTM Option-implied Probability

By Masaaki Fukasawa, Shunta Murayama

Published 2026-05-17

Everscope rating

1779

Relevance to quantitative trading

8 / 10

Implementation complexity

6 / 10

Reproducibility

3 / 5

About this paper

Methodology: Arbitrage-Free Option Price Construction via Supremum of Linear Functions. Problem types: Risk Management, Optimization, Density Estimation, Anomaly Detection.

arXiv:2605.17446 · Paper rankings

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