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Modeling the Dynamics of Implied Volatility Surfaces
1 of 34 checkable references need attention · checked 2026-10-07
At the dated check, the references listed below either did not resolve in Crossref or DataCite, or carried a retraction notice. Each one is shown with the registry record that put it there.
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References needing attention
does not resolve to a known work10.1080/13518470122659
The 33 checked references that resolve
resolves10.1111/0022-1082.215228
Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices
resolves10.1111/j.1540-6261.1991.tb03775.x
The Crash of ʼ87: Was It Expected? The Evidence from Options Markets
resolves10.1016/s0304-4076(01)00068-9
Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns
resolves10.1111/j.1540-6261.2004.00647.x
Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?
resolves10.2139/ssrn.535222
Modelling the Implied Volatility Surface: Does Market Efficiency Matter? An Application to Mib30 Index Options
resolves10.2139/ssrn.199332
Option Prices with Uncertain Fundamentals: Theory and Evidence on the Dynamics of Implied Volatilities
resolves10.21314/jor.2002.061
Is implied volatility an informationally efficient and effective predictor of future volatility?
resolves10.1023/b:redr.0000004823.77464.2d
The Dynamics of Implied Volatilities: A Common Principal Components Approach
resolves10.1016/s0927-5398(98)00002-4
The quality of market volatility forecasts implied by S&P 100 index option prices
resolves10.1016/s0304-4076(03)00103-9
Empirical assessment of an intertemporal option pricing model with latent variables
resolves10.1086/500686
Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface*
resolves10.1093/rfs/6.2.327
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
resolves10.1080/10920277.2007.10597484
A Long-Term Model of the Dynamics of the S&P500 Implied Volatility Surface
resolves10.1093/rfs/hhi011
An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks
resolves10.1016/s0304-405x(01)00088-5
The jump-risk premia implicit in options: evidence from an integrated time-series study
The 5 references without a DOI — listed, not checked
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no DOI — not checkedref3
no DOI — not checkedref22
no DOI — not checkedref25
no DOI — not checkedref31
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