Muzzioli, Silvia - In: Computational Economics 41 (2013) 3, pp. 359-386
Corridor implied volatility introduced in Carr and Madan (Volatility: new estimation techniques for pricing derivatives, <CitationRef CitationID="CR14">1998</CitationRef>) and recently implemented in Andersen and Bondarenko (Volatility as an asset class, <CitationRef CitationID="CR4">2007</CitationRef>) is obtained from model-free implied volatility by truncating the integration...</citationref></citationref>