Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Computation of deterministic volatility surfaces

11 references·7 citing·33 second hop

FromToDepth

this work references cited by second hop

References

1973The Pricing of Options and Corporate Liabilities29,064 cited
1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
1976Option pricing when underlying stock returns are discontinuous5,965 cited
1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
1976The valuation of options for alternative stochastic processes2,935 cited
1994Implied Binomial Trees1,749 cited
1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
1996Recovering Probability Distributions from Option Prices1,086 cited
1994Option pricing: Mathematical models and computation805 cited
1997Calibrating volatility surfaces via relative-entropy minimization249 cited
1997A technique for calibrating derivative security pricing models: numerical solution of an inverse problem134 cited

Cited by

2006Spectral calibration of exponential Lévy models75 cited
2006Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem73 cited
2015ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING56 cited
2007

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Retrieving Lévy processes from option prices : regularization of an ill-posed inverse problem

43 cited

2001Dynamic hedging with a deterministic local volatility function model42 cited

2006On decoupling of volatility smile and term structure in inverse option pricing37 cited

2004Can anyone solve the smile problem?31 cited