PreprintCC BY 4.0arXiv
Gaussian Normalized Coordinates and Risk-Neutral CDF Deformations
Abstract
Normalized implied-volatility coordinates reveal no-arbitrage structure that is less transparent in strike space. This paper centers on a single quantity that gives those coordinates a direct probabilistic interpretation.
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BibTeX
@misc{sun2026gaussian,
title = {{Gaussian Normalized Coordinates and Risk-Neutral CDF Deformations}},
author = {Jian Sun},
howpublished = {arXiv},
year = {2026},
month = sep,
doi = {10.48550/arxiv.2609.14212},
eprint = {2609.14212},
archivePrefix = {arXiv},
url = {https://arxiv.org/abs/2609.14212},
note = {CC BY 4.0},
}
RIS
TY - UNPB
TI - Gaussian Normalized Coordinates and Risk-Neutral CDF Deformations
AU - Jian Sun
PY - 2026
DA - 2026/09/13
PB - arXiv
DO - 10.48550/arxiv.2609.14212
UR - https://arxiv.org/abs/2609.14212
AB - Normalized implied-volatility coordinates reveal no-arbitrage structure that is less transparent in strike space. This paper centers on a single quantity that gives those coordinates a direct probabilistic interpretation.
ER -