Yet another asymptotic formula for implied volatility

By Masaaki Fukasawa

Published 2026-09-12

Everscope rating

1711.1

Relevance to quantitative trading

8 / 10

Implementation complexity

9 / 10

Reproducibility

3 / 5

About this paper

Methodology: Asymptotic analysis via conditional Gaussian smoothing and stopped Black-Scholes argument. Problem types: Option Pricing, Derivative Valuation, Risk Management, Asymptotic Analysis, Density Estimation.

arXiv:2609.13961 · Paper rankings

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