One Other Option Pricing Scheme
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摘要
This paper introduces a parsimonious and interpretable framework that directly parameterizes the risk-neutral quantile function to control the shape of the implied volatility curve, including local concavity and non-convex shapes observed in modern markets. The approach calibrates across a quarter million implied volatility curves over the past two years, producing stable parameter patterns across tenors and moneynesses that enable term-structure interpolation and dynamic process construction without static arbitrage. These results demonstrate strong empirical performance and practical tractability for a broad set of market conditions [page::0].
