The implied volatility is a crucial element in any financial toolbox, since it is used to both quote and hedge options as well as for model calibration. In contrast to the Black–Scholes formula, its ...

We address a more general version of a classic question in probability theory. Suppose X ∼ ${\bf N}_{{\bf p}}(\mu,\Sigma)$ (μ, Σ). What functions of X also have ...