On the public citation graph

Leading Moments of Implied Volatility

https://doi.org/10.2139/ssrn.4626049
0 signed · 30 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 See whether every reference in this work resolves to a known work and none has been retracted — and get a dated CiteStamped badge you can embed.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/10.1007/978-1-4899-3019-4openalex-extracted
Probability with a View Toward Statistics
inferredcites →https://doi.org/10.1007/s00780-006-0011-7openalex-extracted
Moment explosions in stochastic volatility models
inferredcites →https://doi.org/10.1007/s00780-019-00392-5openalex-extracted
Affine forward variance models
inferredcites →https://doi.org/10.1007/s10203-019-00267-6openalex-extracted
Moment explosions in the rough Heston model
inferredcites →https://doi.org/10.1007/s11147-007-9014-6openalex-extracted
A new approach for option pricing under stochastic volatility
inferredcites →https://doi.org/10.1007/s11147-009-9048-zopenalex-extracted
Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case
inferredcites →https://doi.org/10.1023/b:numa.0000027736.85078.beopenalex-extracted
Detailed Error Analysis for a Fractional Adams Method
inferredcites →https://doi.org/10.1080/14697688.2010.549835openalex-extracted
Closed-form convexity and cross-convexity adjustments for Heston prices
inferredcites →https://doi.org/10.1080/14697688.2011.565789openalex-extracted
Options on realized variance by transform methods: a non-affine stochastic volatility model
inferredcites →https://doi.org/10.1080/14697688.2013.825049openalex-extracted
Risk adjustments of option prices under time-changed dynamics
inferredcites →https://doi.org/10.1080/14697688.2015.1099717openalex-extracted
Pricing under rough volatility
inferredcites →https://doi.org/10.1086/296519openalex-extracted
The Variance Gamma (V.G.) Model for Share Market Returns
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/hhl013openalex-extracted
Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility
inferredcites →https://doi.org/10.1111/1467-9469.00045openalex-extracted
Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
inferredcites →https://doi.org/10.1111/1467-9965.00020openalex-extracted
Stochastic Volatility for Lévy Processes
inferredcites →https://doi.org/10.1111/1467-9965.00038openalex-extracted
Contingent Claims and Market Completeness in a Stochastic Volatility Model
inferredcites →https://doi.org/10.1111/j.1467-9965.2010.00423.xopenalex-extracted
MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS
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/mafi.12105openalex-extracted
EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS
inferredcites →https://doi.org/10.1111/mafi.12173openalex-extracted
The characteristic function of rough Heston models
inferredcites →https://doi.org/10.1111/mafi.12290openalex-extracted
Small‐time, large‐time, and asymptotics for the Rough Heston model
inferredcites →https://doi.org/10.1137/110830241openalex-extracted
The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model
inferredcites →https://doi.org/10.1214/18-aap1408openalex-extracted
Perfect hedging in rough Heston models
inferredcites →https://doi.org/10.1214/19-aap1477openalex-extracted
Affine Volterra processes
inferredcites →https://doi.org/10.21314/jcf.2001.075openalex-extracted
Deriving derivatives of derivative securities
inferredcites →https://doi.org/10.2139/ssrn.2230827openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.2396545openalex-extracted
A Journey into the Dark Arts of Quantitative Finance
inferredcites →https://doi.org/10.2139/ssrn.559481openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.910212openalex-extracted
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.