Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 31, 2022 erstellt
Beschreibung:
In this work we provide generalization and unification of several moment formulae: the Lee Moment Formula of Lee (2004), Log Moment Formula of Raval and Jacquier (2021), and the modified Piterbarg conjecture of Gulisashvili (2012). We approach the problem via investigating asymptotic behavior of the normalizing volatility transforms introduced in Fukasawa (2012). Our derivations are elementary and do not rely on advanced tools, such as Regular Variation theory