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arXiv · 2609.14212

Gaussian Normalized Coordinates and Risk-Neutral CDF Deformations

Jian Sun
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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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Jian Sun. 2026-09-13. Gaussian Normalized Coordinates and Risk-Neutral CDF Deformations. https://arxiv.org/abs/2609.14212

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