Proves monotonicity of k/v(k) and (F-K)/σ_N(K) under static no-arbitrage with finite quotes and establishes a model-free normal-variance identity analogous to Fukasawa's lognormal result.
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Monotonicity of Normalized Implied-Volatility Coordinates under No-Arbitrage
Proves monotonicity of k/v(k) and (F-K)/σ_N(K) under static no-arbitrage with finite quotes and establishes a model-free normal-variance identity analogous to Fukasawa's lognormal result.