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THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE
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THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE (2011)THE NORMALIZING TRANSFORMATION OF THE IMP…Variance swaps on time-changed Lévy processes (2011)Variance swaps on time-change…Volatility Derivatives (2009)Volatility DerivativesCan the implied volatility surface move by parallel shifts? (2008)Can the implied volatility su…The Volatility Surface: A Practitioner's Guide (2006)The Volatility Surface: A Pra…THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES (2004)THE MOMENT FORMULA FOR IMPLIE…Shapes of Implied Volatility with Positive Mass at Zero (2017)Shapes of Implied Volatility …Exponentiation of Conditional Expectations Under Stochastic Volatility (2017)Exponentiation of Conditional…MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX (2011)MODEL-FREE IMPLIED VOLATILITY…The Pricing of Options and Corporate Liabilities (1973)Introduction and Summary of Results (Excerpt) (2000)The Finite Moment Log Stable Process and Option Pricing (2003)Asymptotics of Implied Volatility far from Maturity (2009)Asymptotic formulae for implied volatility in the Heston model (2010)ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS (2013)The pricing of commodity contracts (1976)A Jump-Diffusion Model for Option Pricing (2002)Option pricing by transform methods: extensions, unification and error control (2004)Arbitrage-free SVI volatility surfaces (2013)Crash-neutral currency carry trades (2014)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Prices of State-Contingent Claims Implicit in Option Prices (1978)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)Model-independent hedging strategies for variance swaps (2012)Model-Free Volatility Indexes in the Financial Literature: A Review (2013)Prices and Asymptotics for Discrete Variance Swaps (2013)Option valuation using the fast Fourier transform (1999)Derivatives in Financial Markets with Stochastic Volatility (2000)Moment explosions in the rough Heston model (2019)Fractional Riccati Equation and Its Applications to Rough Heston Model Using Numerical Methods (2020)The rough Hawkes Heston stochastic volatility model (2024)Option pricing when underlying stock returns are discontinuous (1976)Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Uniform Bounds for Black--Scholes Implied Volatility (2016)Theory of Rational Option Pricing (1973)The Pricing of Options on Assets with Stochastic Volatilities (1987)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)An analytical formula for VIX futures and its applications (2011)Excess Volatility: Beyond Discount Rates* (2017)The VIX Premium (2018)Econophysics review: I. Empirical facts (2011)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Pricing under rough volatility (2015)
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References

  • 2006The Volatility Surface: A Practitioner's Guide735 cited
  • 2004THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES335 cited
  • 2009Volatility Derivatives178 cited
  • 2011Variance swaps on time-changed Lévy processes87 cited
  • 2008Can the implied volatility surface move by parallel shifts?71 cited

Cited by

  • 2017Exponentiation of Conditional Expectations Under Stochastic Volatility26 cited
  • 2017Shapes of Implied Volatility with Positive Mass at Zero22 cited
  • 2011MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX18 cited

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