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Modelling the Implied Volatility of Options on Long Gilt Futures

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References

1973The Pricing of Options and Corporate Liabilities29,064 cited
1976The pricing of commodity contracts2,859 cited
1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
1987Efficient Analytic Approximation of American Option Values1,128 cited
1995Predicting Volatility in the Foreign Exchange Market723 cited
1992Stock market volatility and the information content of stock index options667 cited
1995Fundamental Economic Variables, Expected Returns, and Bond Fund Performance403 cited
1985The Valuation of Options on Futures Contracts143 cited
1991Expiration-Day Effects: What Has Changed?110 cited
1991The Stochastic behaviour of Market Variance Implied in the Prices of Index Options51 cited

Cited by

2006Modeling and Forecasting Implied Volatility - an Econometric Analysis of the VIX Index*26 cited
2009Joint modeling of call and put implied volatility25 cited

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