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The Term Structure of Volatility Implied by Foreign Exchange Options

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1995Implied Volatility139 cited
1995Conditional volatility and the informational efficiency of the PHLX currency options market138 cited
2000The Dynamics of the S&P 500 Implied Volatility Surface137 cited
2012U.S. stock market crash risk, 1926–2010116 cited
1997The Forecasting Ability of Correlations Implied in Foreign Exchange Options112 cited
1995Testing the Expectations Hypothesis on the Term Structure of Volatilities in Foreign Exchange Options

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2017The Factor Structure in Equity Options101 cited

2008The implied volatility smirk101 cited

1998Improving the pricing of options: a neural network approach97 cited

2009Volatility Components, Affine Restrictions, and Nonnormal Innovations91 cited

2009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well89 cited

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2000Market risk and the concept of fundamental volatility: Measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial markets66 cited

2007Implied volatility term structure linkages between VDAX, VSMI and VSTOXX volatility indices65 cited

2017Pricing vulnerable options with stochastic volatility64 cited