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We derive a new, exact and transparent expansion for option smiles, which lends itself both to analytical approximation and, perhaps more importantly, to congenial numerical treatments.
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L. Bergomi, Risk Magazine pp. 94–100 (December 2009)
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P. Henry-Labordère, Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing (Chapman & Hall / CRC Press, 2010)
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A. Petrelli, R. Balachandran, O. Siu, R. Chatterjee, Z. Jun, and V. Kapoor (2010), http://ssrn.com/abstract=1530046
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A. Berd (2011), arXiv:1112.1114v1[q-fin.PM]
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V. Vargas (2012), in preparation
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2003
Cited alongside, same era.
J. Gatheral, The Volatility Surface: A Practitioner’s Guide (Wiley Finance, 2006)
2006
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J.-P. Bouchaud, M. Potters, and D. Sestovic, Physica A 289
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J.-P. Bouchaud, A. Matacz, and M. Potters, Phys. Rev. Lett. 87
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