The Pietra term structures of financial assets

摘要

This paper explores an elemental connection between call optionsthe most commonly tradable financial derivatives, implied volatility term structurescritical "market information" emanating from call-option prices, and the Pietra indexa quantitative economic measure of societal egalitarianism. Our study: (i) unveils an intrinsic "Pietra structure" of call-option prices; (ii) introduces the notion of the "Pietra term structures" of financial assets; (iii) describes the probabilistic meaning of the Pietra term structures; (iv) establishes an explicit nonlinear one-to-one mapping between the Pietra term structures and the implied volatility term structures of financial assets. The results presented in this paper provide a deep insight into the econophysics of call options and implied volatility term structures.