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Arbitrage-free implied volatility surfaces for options on single stock futures
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References

  • 1998Implied Volatility Functions: Empirical Tests1,248 cited
  • 1991The Crash of ʼ87: Was It Expected? The Evidence from Options Markets874 cited
  • 2006The Volatility Surface: A Practitioner's Guide735 cited
  • 1972THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY718 cited
  • 1972The Valuation of Option Contracts and a Test of Market Efficiency612 cited
  • 2001Market Models: A Guide to Financial Data Analysis493 cited
  • 1979An Empirical Examination of the Black-Scholes Call Option Pricing Model446 cited
  • 2002Dynamics of implied volatility surfaces433 cited
  • 1998Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility256 cited
  • 1996The Local Volatility Surface: Unlocking the Information in Index Option Prices132 cited
  • 2012Volatility and Correlation117 cited
  • 2011Foreign Exchange Option Pricing: A Practitioner's Guide112 cited
  • 2001Implied volatility surfaces: uncovering regularities for options on financial futures87 cited
  • 2005On the informational efficiency of S&P500 implied volatility75 cited
  • 2005Calibration of the SABR Model in Illiquid Markets71 cited

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  • 2011Implied Volatility Surface: Construction Methodologies and Characteristics61 cited
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