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Identifying the volatility of underlying assets from option prices

5 references·3 citing·24 second hop

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References

1994Implied Binomial Trees1,749 cited
1998Derivatives: The Theory and Practice of Financial Engineering552 cited
1996Implied Trinomial Tress of the Volatility Smile142 cited
1997A technique for calibrating derivative security pricing models: numerical solution of an inverse problem134 cited
1997The inverse problem of option pricing117 cited

Cited by

2003A new well-posed algorithm to recover implied local volatility78 cited
2007An inverse problem of determining the implied volatility in option pricing61 cited
2006On decoupling of volatility smile and term structure in inverse option pricing37 cited

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