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A Panel Cointegration Analysis of the Dynamics of FX Option Implied Volatility Surface

https://doi.org/10.2139/ssrn.2558902
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What this work says

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

inferredcites →https://doi.org/10.1002/9780470061602.eqf08004openalex-extracted
Implied Volatility Surface
inferredcites →https://doi.org/10.1002/fut.10039openalex-extracted
Factors explaining movements in the implied volatility surface
inferredcites →https://doi.org/10.1002/fut.20280openalex-extracted
Pricing American options on foreign currency with stochastic volatility, jumps, and stochastic interest rates
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/s10614-012-9322-2openalex-extracted
Explanatory Factors and Causality in the Dynamics of Volatility Surfaces Implied from OTC Asian–Pacific Currency Options
inferredcites →https://doi.org/10.1016/0304-405x(82)90018-6openalex-extracted
The stochastic behavior of common stock variances Value, leverage and interest rate effects
inferredcites →https://doi.org/10.1016/j.jbankfin.2009.05.016openalex-extracted
Static hedging and pricing American options
inferredcites →https://doi.org/10.1016/j.jbankfin.2009.11.014openalex-extracted
Predictable dynamics in implied volatility surfaces from OTC currency options
inferredcites →https://doi.org/10.1016/j.jfineco.2006.03.010openalex-extracted
Stochastic skew in currency options☆
inferredcites →https://doi.org/10.1016/s0261-5606(03)00018-4openalex-extracted
Implied volatility dynamics in the foreign exchange markets
inferredcites →https://doi.org/10.1016/s0261-5606(83)80001-1openalex-extracted
Foreign currency option values
inferredcites →https://doi.org/10.1016/s0261-5606(83)80002-3openalex-extracted
The pricing of call and put options on foreign exchange
inferredcites →https://doi.org/10.1016/s0304-4076(03)00113-1openalex-extracted
Empirical option pricing: a retrospection
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/10.1023/a:1009642705121openalex-extracted
The Dynamics of the S&P 500 Implied Volatility Surface
inferredcites →https://doi.org/10.1023/b:redr.0000004823.77464.2dopenalex-extracted
The Dynamics of Implied Volatilities: A Common Principal Components Approach
inferredcites →https://doi.org/10.1080/13518470110040375openalex-extracted
Implied volatility surfaces: uncovering regularities for options on financial futures
inferredcites →https://doi.org/10.1080/13518470122659openalex-extracted
inferredcites →https://doi.org/10.1086/260062openalex-extracted
The Pricing of Options and Corporate Liabilities
inferredcites →https://doi.org/10.1088/1469-7688/2/1/304openalex-extracted
Dynamics of implied volatility surfaces
inferredcites →https://doi.org/10.1093/jjfinec/nbm005openalex-extracted
A semiparametric factor model for implied volatility surface dynamics
inferredcites →https://doi.org/10.1093/rfs/6.2.327openalex-extracted
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
inferredcites →https://doi.org/10.1093/rfs/9.1.69openalex-extracted
Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options
inferredcites →https://doi.org/10.1111/0022-1082.00083openalex-extracted
Implied Volatility Functions: Empirical Tests
inferredcites →https://doi.org/10.1111/j.1468-0084.2008.00513.xopenalex-extracted
A Simple Test for Cointegration in Dependent Panels with Structural Breaks*
inferredcites →https://doi.org/10.1016/j.jimonfin.2009.12.001openalex-snapshot
Long memory versus structural breaks in modeling and forecasting realized volatility
inferredcites →https://doi.org/10.1016/j.jimonfin.2011.02.001openalex-snapshot
How important is the term structure in implied volatility surface modeling? Evidence from foreign exchange options
inferredcites →https://doi.org/10.1142/9789814759588_0002openalex-snapshot
Theory of Rational Option Pricing
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