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On Black‐Scholes Implied Volatility at Extreme Strikes
16 references·2 citing·31 second hop
On Black‐Scholes Implied Volatility at Extreme Strikes (2008)On Black‐Scholes Implied Volatility at Ex…The Volatility Surface: A Practitioner's Guide (2006)The Volatility Surface: A Pra…Moment explosions in stochastic volatility models (2006)Moment explosions in stochast…THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES (2004)THE MOMENT FORMULA FOR IMPLIE…Option pricing by transform methods: extensions, unification and error control (2004)Option pricing by transform m…Financial Modelling with Jump Processes (2004)Financial Modelling with Jump…Computing the implied volatility in stochastic volatility models (2004)Computing the implied volatil…The Finite Moment Log Stable Process and Option Pricing (2003)The Finite Moment Log Stable …Lévy Processes in Finance (2003)Lévy Processes in FinanceLévy processes in finance pricing financial derivatives (2003)Lévy processes in finance pri…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Probability distribution of returns in the Heston model with stochastic volatility* (2002)Probability distribution of r…Pricing and Hedging Path-Dependent Options Under the CEV Process (2001)Pricing and Hedging Path-Depe…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Br…Asymptotic Expansion Approach in Finance (2015)Asymptotic Expansion Approach…FX Volatility Smile Construction (2012)FX Volatility Smile Construct…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Non-parametric calibration of jump–diffusion option pricing models (2004)Stochastic Integration and Differential Equations (2005)A Multivariate Jump-Driven Financial Asset Model (2006)Option Pricing Under a Mixed-Exponential Jump Diffusion Model (2011)The Behavior of Stock-Market Prices (1965)Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)Stochastic skew in currency options☆ (2007)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)The application of continuous-time random walks in finance and economics (2005)Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)Estimating quadratic variation using realized variance (2002)Time-changed Lévy processes and option pricing (2003)Econophysics review: I. Empirical facts (2011)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Pricing under rough volatility (2015)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Some remarks on first passage of Lévy processes, the American put and pasting principles (2005)
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References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 1991Continuous Martingales and Brownian Motion1,957 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 2003Lévy processes in finance pricing financial derivatives807 cited
  • 2003Lévy Processes in Finance793 cited
  • 2006The Volatility Surface: A Practitioner's Guide735 cited
  • 2003The Finite Moment Log Stable Process and Option Pricing517 cited
  • 2004Financial Modelling with Jump Processes419 cited
  • 2006Moment explosions in stochastic volatility models403 cited
  • 2001Pricing and Hedging Path-Dependent Options Under the CEV Process343 cited
  • 2004THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES335 cited
  • 2004Option pricing by transform methods: extensions, unification and error control328 cited
  • 2004Computing the implied volatility in stochastic volatility models222 cited
  • 2002Probability distribution of returns in the Heston model with stochastic volatility*

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219 cited

Cited by

  • 2012FX Volatility Smile Construction37 cited
  • 2015Asymptotic Expansion Approach in Finance29 cited