MARCO, S. DE; MARTINI, C. - In: International Journal of Theoretical and Applied … 15 (2012) 04, pp. 1250026-1
We study the term structure of the implied volatility in the presence of a symmetric smile. Exploiting the result by Tehranchi (2009) that a symmetric smile generated by a continuous martingale necessarily comes from a mixture of normal distributions, we derive representation formulae for the...
