Cyril Grunspan

Ecole Superieure d'Ingenierie Leonard de Vinci (ESILV)

Associate Professor

92916 Paris La Defense Cedex

France

SCHOLARLY PAPERS

3

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7

Scholarly Papers (3)

1.

Asymptotic Expansions of the Lognormal Implied Volatility: A Model Free Approach

Number of pages: 18 Posted: 29 Nov 2011 Last Revised: 06 Dec 2011
Cyril Grunspan
Ecole Superieure d'Ingenierie Leonard de Vinci (ESILV)
Downloads 1,335 (21,073)
Citation 5

Abstract:

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smile asymptotics, implied lognormal volatility

2.

A Note on the Equivalence between the Normal and the Lognormal Implied Volatility: A Model Free Approach

Number of pages: 11 Posted: 25 Jul 2011 Last Revised: 29 Nov 2011
Cyril Grunspan
Ecole Superieure d'Ingenierie Leonard de Vinci (ESILV)
Downloads 1,021 (31,227)
Citation 9

Abstract:

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smile asymptotics, implied normal volatility, breakeven move

3.

A New Elementary Geometric Approach to Option Pricing Bounds in Discrete Time Models

Number of pages: 33 Posted: 04 May 2013 Last Revised: 19 Jan 2015
Yann Braouezec and Cyril Grunspan
IESEG School of Management, LEM CNRS, UMR 9221 and Ecole Superieure d'Ingenierie Leonard de Vinci (ESILV)
Downloads 96 (371,790)

Abstract:

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Incomplete markets, option pricing bounds, convex hulls, barycentric coordinates