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A Generalized Simple Formula to Compute the Implied Volatility
3 references·6 citing·29 second hop
A Generalized Simple Formula to Compute the Implied Volatility (1996)A Generalized Simple Formula to Compute t…A Simple Formula to Compute the Implied Standard Deviation (1988)A Simple Formula to Compute t…Standard deviations implied in option prices as predictors of future stock price variability (1981)Standard deviations implied i…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Implied volatility estimation of bitcoin options and the stylized facts of option pricing (2021)Implied volatility estimation…A review on implied volatility calculation (2017)A review on implied volatilit…ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY (2009)ON THE RELATIONSHIP BETWEEN T…Price discovery in the options markets: An application of put‐call parity (2008)Price discovery in the option…A new formula for computing implied volatility (2005)A new formula for computing i…An Improved Approach to Computing Implied Volatility (2001)An Improved Approach to Compu…Theory of Rational Option Pricing (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Advances in Futures and Options Research (1994)Computing the implied volatility in stochastic volatility models (2004)Martingale Methods in Financial Modelling (2005)Option Data and Modeling BSM Implied Volatility (2011)Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model (2011)Short Maturity Asian Options in Local Volatility Models (2016)Anticipated information releases reflected in call option prices (1979)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Theory of rational option pricing (2005)Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models (2008)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Option pricing when underlying stock returns are discontinuous (1976)The pricing of commodity contracts (1976)The Pricing of Options on Assets with Stochastic Volatilities (1987)Catalysts for Price Discovery in the European Union Emissions Trading System (2012)Common deviation and regime-dependent dynamics in the index derivatives markets (2015)Price discovery in the S&P 500 index derivatives markets (2016)A note on a simple, accurate formula to compute implied standard deviations (1996)Implied Volatility (1995)Variance Risk Premia (2004)Volatility Derivatives (2009)A new approach to forecast market interest rates through the CIR model (2019)Forecasting interest rates through Vasicek and CIR models: A partitioning approach (2019)Interest rates calibration with a CIR model (2019)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1981Standard deviations implied in option prices as predictors of future stock price variability371 cited
  • 1988A Simple Formula to Compute the Implied Standard Deviation194 cited

Cited by

  • 2005A new formula for computing implied volatility54 cited
  • 2017A review on implied volatility calculation49 cited
  • 2008Price discovery in the options markets: An application of put‐call parity43 cited
  • 2009ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY40 cited
  • 2021Implied volatility estimation of bitcoin options and the stylized facts of option pricing38 cited
  • 2001An Improved Approach to Computing Implied Volatility38 cited

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