Cover Image

Explicit Rational Formulae for Bachelier (Normal) Implied Volatility

Fuente: arXiv

Saved in:

Bibliographic Details
Main Author:	Floc'h, Fabien Le
Format:	Preprint
Published:	2026
Subjects:	Computational Finance Pricing of Securities
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Faster Monotone Implied Volatility Solver
by: Floc'h, Fabien Le
Published: (2026)

Stochastic Expansion for the Pricing of Asian and Basket Options
by: Floc'h, Fabien Le
Published: (2024)

Revisiting Stochastic Collocation with Exponential Splines for an Arbitrage-Free Interpolation of Option Prices
by: Floc'h, Fabien Le
Published: (2025)

Asian Basket Spread Options: A New Approximation Based on Stochastic Taylor Expansions
by: Floc'h, Fabien Le
Published: (2025)

How to choose my stochastic volatility parameters? A review
by: Floc'h, Fabien Le
Published: (2025)

The Quadratic Local Variance Gamma Model: an arbitrage-free interpolation of class C3 for option prices
by: Floc'h, Fabien Le
Published: (2023)

NUFFT for the Fast COS Method
by: LeFloc'h, Fabien
Published: (2025)

An Explicit Solution to Black-Scholes Implied Volatility
by: Schadner, Wolfgang
Published: (2026)

Understanding Short-Term Implied Volatility Dynamics: A Model-Independent Approach Beyond Stochastic Volatility
by: Cheng, Liexin, et al.
Published: (2024)

Dynamic Asset Pricing in a Unified Bachelier-Black-Scholes-Merton Model
by: Lindquist, W. Brent, et al.
Published: (2024)

Implying Volatility: How Fast Can We Go?
by: Floc'h, Fabien Le, et al.
Published: (2026)

An Efficient Calibration Framework for Volatility Derivatives under Rough Volatility with Jumps
by: Wu, Keyuan, et al.
Published: (2025)

Small Volatility Approximation and Multi-Factor HJM Models
by: Belyaev, V. M.
Published: (2025)

Multi-asset and generalised Local Volatility. An efficient implementation
by: Deloire, Olivier, et al.
Published: (2024)

Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities
by: Grzelak, Lech A.
Published: (2022)

Volatility models in practice: Rough, Path-dependent or Markovian?
by: Jaber, Eduardo Abi, et al.
Published: (2024)

Stochastic Policy Gradient Methods in the Uncertain Volatility Model
by: Abbas-Turki, Lokman A, et al.
Published: (2026)

Pricing Multi-strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates
by: Ter-Avanesov, Boris, et al.
Published: (2024)

Hedging via Perpetual Derivatives: Trinomial Option Pricing and Implied Parameter Surface Analysis
by: Gnawali, Jagdish, et al.
Published: (2024)

Extrema, Barrier Options, and Semi-Analytic Leverage Corrections in Stochastic-Clock Volatility Models
by: Guillaume, Tristan
Published: (2026)

HJM Local Volatility Model
by: Belyaev, V. M.
Published: (2023)

Volatility Shocks and Currency Returns
by: Babiak, Mykola, et al.
Published: (2021)

To Bubble or Not to Bubble: Asset Price Dynamics and Optimality in OLG Economies
by: Bosi, Stefano, et al.
Published: (2025)

Multiplicative Langevin Process for Volatilities Produces Observed Q-Variance Regularities
by: Press, William H., et al.
Published: (2026)

Explicit local volatility formula for Cheyette-type interest rate models
by: Gairat, Alexander, et al.
Published: (2025)

Stochastic Volatility Model with Sticky Drawdown and Drawup Processes: A Deep Learning Approach
by: Liu, Yuhao, et al.
Published: (2025)

Social Media Emotions and Market Behavior
by: Vamossy, Domonkos F.
Published: (2024)

Defaultable bond liquidity spread estimation: an option-based approach
by: Rossi, Pietro, et al.
Published: (2025)

Deep calibration with random grids
by: Baschetti, Fabio, et al.
Published: (2023)

Empirical Models of the Time Evolution of SPX Option Prices
by: Brini, Alessio, et al.
Published: (2025)

A Two-Step Longstaff Schwartz Monte Carlo Approach to Game Option Pricing
by: Wang, Ce
Published: (2024)

Deep Hedging Bermudan Swaptions
by: Oya, Kenjiro
Published: (2024)

Smile asymptotics for Bachelier implied volatility
by: Baviera, Roberto, et al.
Published: (2025)

Option Pricing under Stochastic Volatility and Jumps:A PIDE Framework with Empirical Evidence
by: Mensah, Abigail Anokyewaa, et al.
Published: (2026)

Feynman-Kac Derivatives Pricing on the Full Forward Curve
by: Mott, Kevin
Published: (2026)

Marketron Through the Looking Glass: From Equity Dynamics to Option Pricing in Incomplete Markets
by: Halperin, Igor, et al.
Published: (2025)

American options valuation in time-dependent jump-diffusion models via integral equations and characteristic functions
by: Itkin, Andrey
Published: (2025)

Fourier-Laplace transforms in polynomial Ornstein-Uhlenbeck volatility models
by: Jaber, Eduardo Abi, et al.
Published: (2024)

Fast and General Simulation of Lévy-driven Ornstein Uhlenbeck processes for Energy Derivatives
by: Baviera, Roberto, et al.
Published: (2024)

Exact simulation scheme for the Ornstein-Uhlenbeck driven stochastic volatility model with the Karhunen-Loève expansions
by: Choi, Jaehyuk
Published: (2024)