Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

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

A General Asymptotic Implied Volatility for Stochastic Volatility Models

8 references·16 citing·34 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
1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
2002Option valuation under stochastic volatility: with mathematica code228 cited
2004Computing the implied volatility in stochastic volatility models222 cited
2002Asymptotics and calibration of local volatility models203 cited
1999Equivalent Black volatilities133 cited

Cited by

2015Asymptotic Implied Volatility at the Second Order with Application to the SABR Model77 cited
2008Local volatility dynamic models76 cited
2009Smart expansion and fast calibration for jump diffusions73 cited
2017Explicit implied volatilities for multifactor local-stochastic volatility models72 cited
2010Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model68 cited
2012Small-time asymptotics for fast mean-reverting stochastic volatility models65 cited
2014Hermite polynomial based expansion of European option prices

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

62 cited

2011Implied Volatility Surface: Construction Methodologies and Characteristics61 cited

2011Analytical Approximation of the Transition Density in a Local Volatility Model61 cited

2010Asymptotic formulae for implied volatility in the Heston model58 cited

2010EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL49 cited

2008On Black‐Scholes Implied Volatility at Extreme Strikes43 cited

2011A GENERAL COMPUTATION SCHEME FOR A HIGH-ORDER ASYMPTOTIC EXPANSION METHOD41 cited

2011Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model39 cited

2009Computation in an Asymptotic Expansion Method36 cited

2011Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing32 cited