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Implied Volatility Surface

https://doi.org/10.1002/9780470061602.eqf08004
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/9781119202073openalex-snapshot
The Volatility Surface
inferredcites →https://doi.org/10.1016/j.jfineco.2005.10.006openalex-snapshot
Maximum likelihood estimation of stochastic volatility models
inferredcites →https://doi.org/10.1017/cbo9780511753893openalex-snapshot
Theory of Financial Risk and Derivative Pricing
inferredcites →https://doi.org/10.1080/14697680601087883openalex-snapshot
Volatility surfaces: theory, rules of thumb, and empirical evidence
inferredcites →https://doi.org/10.1088/1469-7688/2/1/303openalex-snapshot
Deterministic implied volatility models
inferredcites →https://doi.org/10.1088/1469-7688/2/1/304openalex-snapshot
Dynamics of implied volatility surfaces
inferredcites →https://doi.org/10.2139/ssrn.1520443openalex-snapshot
Smile Dynamics IV

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.1697829openalex-extracted
Profit-and-Loss of Option Strategies under Quadratic Skew Parametrization
inferred← citeshttps://doi.org/10.2139/ssrn.1882567openalex-extracted
Implied Volatility Surface: Construction Methodologies and Characteristics
inferred← citeshttps://doi.org/10.2139/ssrn.2022261openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2207171openalex-extracted
Consistent and Realistic Dynamics of the Implied Volatility Surface under Local Volatility Models
inferred← citeshttps://doi.org/10.2139/ssrn.2558902openalex-extracted
A Panel Cointegration Analysis of the Dynamics of FX Option Implied Volatility Surface
inferred← citeshttps://doi.org/10.2139/ssrn.3720315openalex-extracted
The VIX Future in Bergomi Models: Analytic Expansions and Joint Calibration with S&P 500 Skew
inferred← citeshttps://doi.org/10.2139/ssrn.3916164openalex-extracted
Lessons from Estimating the Average Option-implied Volatility Term Structure for the Spanish Banking Sector
inferred← citeshttps://doi.org/10.2139/ssrn.4174538openalex-extracted
Does the Term-Structure of Equity At-the-Money Skew Really Follow a Power Law?
inferred← citeshttps://doi.org/10.2139/ssrn.4299363openalex-extracted
inferred← citeshttps://doi.org/10.1007/3-540-30591-2openalex-snapshot
Semiparametric Modeling of Implied Volatility
inferred← citeshttps://doi.org/10.1007/978-3-030-01824-5openalex-snapshot
The Risk Management of Contingent Convertible (CoCo) Bonds
inferred← citeshttps://doi.org/10.1016/j.jfineco.2012.03.004openalex-snapshot
U.S. stock market crash risk, 1926–2010
inferred← citeshttps://doi.org/10.1017/s002210901300032xopenalex-snapshot
Predictable Dynamics in Higher-Order Risk-Neutral Moments: Evidence from the S&P 500 Options
inferred← citeshttps://doi.org/10.1080/1350486x.2017.1378583openalex-snapshot
On the modelling of nested risk-neutral stochastic processes with applications in insurance
inferred← citeshttps://doi.org/10.1080/1350486x.2023.2277960openalex-snapshot
Simulation of Arbitrage-Free Implied Volatility Surfaces
inferred← citeshttps://doi.org/10.1098/rsos.201188openalex-snapshot
Learning agents in Black–Scholes financial markets
inferred← citeshttps://doi.org/10.15611/pn.2014.371.06openalex-snapshot
Efekt histerezy – wycena opcji i implikowana zmienność.
inferred← citeshttps://doi.org/10.19030/jabr.v30i4.8662openalex-snapshot
Too Much Of A Good Thing? A Review Of Volatility Extensions In Black-Scholes
inferred← citeshttps://doi.org/10.3934/dcdss.2022026openalex-snapshot
Stochastic local volatility models and the Wei-Norman factorization method
inferred← citeshttps://doi.org/10.48550/arxiv.1107.1834openalex-snapshot
Implied Volatility Surface: Construction Methodologies and Characteristics
inferred← citeshttps://doi.org/10.48550/arxiv.1704.07597openalex-snapshot
Learning Agents in Black-Scholes Financial Markets: Consensus Dynamics and Volatility Smiles
inferred← citeshttps://doi.org/10.48550/arxiv.2012.10875openalex-snapshot
High-frequency dynamics of the implied volatility surface
inferred← citeshttps://doi.org/10.65109/qfqe7226openalex-snapshot
Learning Agents in Financial Markets: Consensus Dynamics on Volatility
inferred← citeshttps://doi.org/10.70675/080c3b7az360ez4124z9e02z4bd5ee551bbaopenalex-snapshot
Quantitative finance at the microstructure scale : algorithmic trading and regulation
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