A general technique for explicit quantile representations

Wolfgang Schadner

Abstract

This work proves existence of contours independent of probability level for exact quantile integrals of strictly positive real-analytic densities. Explicit constructions cover five broad distribution families and yield a finite-interval representation of Black-Scholes implied volatility using forward functions.

Source: arxiv · PDF

Read the AI summary and key takeaways for traders on WOBR Quant Research.


Open the interactive page on WOBR AI → · WOBR.AI home