In this paper, we give a way to calculate a option implied volatility curve in closed form via the well known quadratic root formula. The closed form expression has 3 free parameters, which parsimoniously govern the assumed dynamics of implied volatility under forward swap measure. Preliminary...

In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a European option contract and the underlying assets can construct an optimal portfolio such that at the moment of the contract's maturity the contract is perfectly hedged. We...