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Equity Correlations Implied by Index Options: Estimation and Model Uncertainty Analysis

https://doi.org/10.2139/ssrn.1592531
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21/21 checkable references clean · checked 2026-08-27

Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.

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The 21 checked references that resolve
resolves10.1142/s0219024998000242
Minimum-Relative-Entropy Calibration of Asset-Pricing Models
resolves10.2139/ssrn.316399
Reconstruction of Volatility: Pricing Index Options by the Steepest Descent Approximation
resolves10.1142/9789812810663_0009
WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS
resolves10.1142/s0219024901000882
WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS
resolves10.21314/jcf.2005.130
Recovering volatility from option prices by evolutionary optimization
resolves10.1142/s0219024902001511
LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES
resolves10.1002/9781118673331
Copula Methods in Finance
resolves10.1111/j.1467-9965.2006.00281.x
MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
resolves10.2139/ssrn.1104855
Recovering Portfolio Default Intensities Implied by CDO Quotes
resolves10.1201/9780203485217.fmatt
Contents
resolves10.21314/jcf.2004.123
Non-parametric calibration of jump–diffusion option pricing models
resolves10.1137/040616267
Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem
resolves10.1137/s0036141001400202
Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
resolves10.1214/aop/1176996454
$I$-Divergence Geometry of Probability Distributions and Minimization Problems
resolves10.1088/0266-5611/21/3/014
Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
resolves10.1214/aos/1034276632
Bayesian methods and maximum entropy for ill-posed inverse problems
resolves10.2139/ssrn.1320164
Coupling Index and Stocks
resolves10.1016/0304-405x(76)90022-2
Option pricing when underlying stock returns are discontinuous
resolves10.1007/b98874
Numerical Optimization
resolves10.1515/9781400873173
Convex Analysis
resolves10.1109/wsc.2001.977308
Constrained Monte Carlo and the method of control variates
The 7 references without a DOI — listed, not checked
no DOI — not checkedref6
no DOI — not checkedref10
no DOI — not checkedPricing with a smile
no DOI — not checkedref19
no DOI — not checkedAnalysis, geometry, and modeling in finance
no DOI — not checkedBayesian model averaging: a tutorial
no DOI — not checkedref24
What this badge says. CiteStamped means the CHECKABLE references of this work were clean at the dated check: each resolved to a known work in a public registry, and none carried a retraction notice at that time. It says nothing about the quality, findings, or importance of the work itself, and nothing about references deposited without a DOI.

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