On the public citation graph

The Impact of Computational Error on the Volatility Smile

https://doi.org/10.2139/ssrn.2243589
0 signed · 52 inferred · view as graph

Inferred edges come from two machine sources: sweeps of open repository metadata (mostly SSRN and Zenodo), and a bulk OpenAlex citation snapshot. Every row below is labelled with the one it came from. Neither is a complete citation index — absence here is not evidence of absence.

Is this your work? Sign in with ORCID and put your name on the claims that are yours.
Claim with ORCID
Reference health. See whether every reference in this work resolves to a known work and none has been retracted — and get a dated CiteStamped badge you can embed.
See reference health

What this work says

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

inferredcites →https://doi.org/10.1002/9781119201984openalex-extracted
Derivatives: Markets, Valuation, and Risk Management
inferredcites →https://doi.org/10.1007/978-1-349-14605-5_8openalex-extracted
Estimating Volatility
inferredcites →https://doi.org/10.1007/978-1-4757-2763-0_14openalex-extracted
The variation of certain speculative prices
inferredcites →https://doi.org/10.1007/978-3-642-17254-0_6openalex-extracted
Option Data and Modeling BSM Implied Volatility
inferredcites →https://doi.org/10.1007/s11147-009-9039-0openalex-extracted
Microstructural biases in empirical tests of option pricing models
inferredcites →https://doi.org/10.1016/0304-405x(76)90022-2openalex-extracted
Option pricing when underlying stock returns are discontinuous
inferredcites →https://doi.org/10.1016/0378-4266(95)00014-3openalex-extracted
A note on a simple, accurate formula to compute implied standard deviations
inferredcites →https://doi.org/10.1016/j.jebo.2009.05.025openalex-extracted
The Black–Scholes model as a determinant of the implied volatility smile: A simulation study
inferredcites →https://doi.org/10.1016/s0378-4266(98)00134-4openalex-extracted
Why do we smile? On the determinants of the implied volatility function
inferredcites →https://doi.org/10.1017/s1365100514000091openalex-extracted
NONLINEAR AND COMPLEX DYNAMICS IN ECONOMICS
inferredcites →https://doi.org/10.1023/a:1020695629589openalex-extracted
A Note on Computation of Implied Volatility
inferredcites →https://doi.org/10.1080/00029890.1999.12005066openalex-extracted
What Is a Closed-Form Number?
inferredcites →https://doi.org/10.1080/14697680902849361openalex-extracted
An Adaptive Successive Over-Relaxation Method for Computing the Black-Scholes Implied Volatility
inferredcites →https://doi.org/10.1086/260062openalex-extracted
The Pricing of Options and Corporate Liabilities
inferredcites →https://doi.org/10.1086/294632openalex-extracted
The Variation of Certain Speculative Prices
inferredcites →https://doi.org/10.1086/294743openalex-extracted
The Behavior of Stock-Market Prices
inferredcites →https://doi.org/10.1093/rfs/5.3.659openalex-extracted
The Informational Content of Implied Volatility
inferredcites →https://doi.org/10.1093/rfs/6.3.659openalex-extracted
inferredcites →https://doi.org/10.1111/0022-1082.00083openalex-extracted
Implied Volatility Functions: Empirical Tests
inferredcites →https://doi.org/10.1111/j.1475-6803.1996.tb00592.xopenalex-extracted
SKEWNESS AND KURTOSIS IN S&P 500 INDEX RETURNS IMPLIED BY OPTION PRICES
inferredcites →https://doi.org/10.1111/j.1540-6261.1976.tb01892.xopenalex-extracted
STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES
inferredcites →https://doi.org/10.1111/j.1540-6261.1978.tb03394.xopenalex-extracted
COMMON STOCK VOLATILITY EXPECTATIONS IMPLIED BY OPTION PREMIA
inferredcites →https://doi.org/10.1111/j.1540-6261.1982.tb01105.xopenalex-extracted
The Calculation of Implied Variances from the Black-Scholes Model: A Note
inferredcites →https://doi.org/10.1111/j.1540-6261.1985.tb04967.xopenalex-extracted
Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978
inferredcites →https://doi.org/10.1111/j.1540-6261.1987.tb02568.xopenalex-extracted
The Pricing of Options on Assets with Stochastic Volatilities
inferredcites →https://doi.org/10.1111/j.1540-6261.1991.tb03775.xopenalex-extracted
The Crash of ʼ87: Was It Expected? The Evidence from Options Markets
inferredcites →https://doi.org/10.1111/j.1540-6261.1994.tb00079.xopenalex-extracted
Implied Binomial Trees
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb02749.xopenalex-extracted
Empirical Performance of Alternative Option Pricing Models
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00647.xopenalex-extracted
Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?
inferredcites →https://doi.org/10.1111/j.1540-6288.1996.tb00900.xopenalex-extracted
A Generalized Simple Formula to Compute the Implied Volatility
inferredcites →https://doi.org/10.1111/j.1540-6288.2001.tb00021.xopenalex-extracted
An Improved Approach to Computing Implied Volatility
inferredcites →https://doi.org/10.1111/j.1540-6288.2006.00158.xopenalex-extracted
Faster Implied Volatilities via the Implicit Function Theorem
inferredcites →https://doi.org/10.1142/9789812701022_0008openalex-extracted
Theory of rational option pricing
inferredcites →https://doi.org/10.2139/ssrn.1336730openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.2023532openalex-extracted
Discrepancy between Black-Scholes and Binomial Option Premia
inferredcites →https://doi.org/10.2139/ssrn.2139627openalex-extracted
Discrepancy between Black-Scholes and Binomial Option Premia
inferredcites →https://doi.org/10.2139/ssrn.2179924openalex-extracted
Can There Be an Explicit Formula for Implied Volatility?
inferredcites →https://doi.org/10.2139/ssrn.319261openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.565301openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.567721openalex-extracted
An Improved Estimator for Black-Scholes-Merton Implied Volatility
inferredcites →https://doi.org/10.2307/2326355openalex-extracted
inferredcites →https://doi.org/10.2307/2328253openalex-extracted
The Pricing of Options on Assets with Stochastic Volatilities
inferredcites →https://doi.org/10.2307/2329472openalex-extracted
inferredcites →https://doi.org/10.2307/4126743openalex-extracted
Errors in Implied Volatility Estimation
inferredcites →https://doi.org/10.2469/faj.v44.n5.80openalex-extracted
A Simple Formula to Compute the Implied Standard Deviation
inferredcites →https://doi.org/10.2469/faj.v47.n4.22openalex-extracted
What Practitioners Need to Know…About Estimating Volatility Part 1
inferredcites →https://doi.org/10.2469/faj.v51.n4.1916openalex-extracted
Implied Volatility
inferredcites →https://doi.org/10.3905/jod.2010.17.4.054openalex-extracted
Impact of Net Buying Pressure on Changes in Implied Volatility: Before and After the Onset of the Subprime Crisis
inferredcites →https://doi.org/10.1016/j.amc.2004.12.034openalex-snapshot
A new formula for computing implied volatility
inferredcites →https://doi.org/10.1142/9789814759588_0002openalex-snapshot
Theory of Rational Option Pricing
inferredcites →https://doi.org/10.2307/2676279openalex-snapshot
Of Smiles and Smirks: A Term Structure Perspective

What points at this work

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

inferred← citeshttps://doi.org/10.1016/j.cam.2017.02.002openalex-snapshot
A review on implied volatility calculation
Editorial review for independent work. ICSAC — the Institute for Complexity Science and Advanced Computing — runs a structured editorial panel for researchers publishing outside journals, and publishes on CiteStamp rails. Submission is free and goes through ORCID: icsacinstitute.org/submit.