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Interpolating the Options-Implied Volatility Surface: A Comparison of Alternative Strategies

https://doi.org/10.2139/ssrn.3184767
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21/21 checkable references clean · checked 2026-10-13

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.

5 without a DOI — not checked. A reference deposited without a DOI is never matched by title or guessed at; it stays outside the checked set, and this line discloses that.

The 21 checked references that resolve
resolves10.1111/0022-1082.215228
Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices
resolves10.2139/ssrn.585623
Accounting for Biases in Black-Scholes
resolves10.1088/1742-6596/819/1/012026
Empirical performance of interpolation techniques in risk-neutral density (RND) estimation
resolves10.1093/rfs/16.1.0101
Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
resolves10.1016/j.jmoneco.2006.05.013
The effect of macroeconomic news on beliefs and preferences: Evidence from the options market
resolves10.1016/s0378-4266(01)00227-8
Testing the stability of implied probability density functions
resolves10.1111/j.1540-6261.2011.01695.x
Tails, Fears, and Risk Premia
resolves10.1093/rfs/hhs087
Measuring Equity Risk with Option-implied Correlations
resolves10.1093/rof/rfq029
Option-Implied Measures of Equity Risk
resolves10.2139/ssrn.2797308
Time-Varying Crash Risk: The Role of Stock Market Liquidity
resolves10.1093/jjfinec/nbp001
A Simple Approximate Long-Memory Model of Realized Volatility
resolves10.1093/rfs/hhq085
What's Vol Got to Do with It
resolves10.1111/j.1540-6261.2009.01467.x
The Price of Correlation Risk: Evidence from Equity Options
resolves10.1080/14697680802595585
Arbitrage-free smoothing of the implied volatility surface
resolves10.1007/978-1-4899-4467-2
Predictive Inference: An Introduction
resolves10.2139/ssrn.3130045
Volatility Noise
resolves10.1515/9781547401161-010
Chapter 10. Options on Indices, Futures, and Foreign Exchanges
resolves10.3905/jod.1999.319143
Option-Implied Risk-Neutral Distributions and Implied Binomial Trees
resolves10.1093/rfs/hhi027
The Model-Free Implied Volatility and Its Information Content
resolves10.1016/s0261-5606(00)00036-x
Reading the smile: the message conveyed by methods which infer risk neutral densities
resolves10.1093/qje/qjw034
What is the Expected Return on the Market?*
The 5 references without a DOI — listed, not checked
no DOI — not checkedref14
no DOI — not checkedEstimating the Implied Risk Neutral Density
no DOI — not checkedref20
no DOI — not checkedA Study of Cross-Validation and Bootstrap for Accuracy Estimation and Model Selection
no DOI — not checkedref26
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