Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

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

Valuation of volatility derivatives as an inverse problem

10 references·2 citing·35 second hop

FromToDepth

this work references cited by second hop

References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
1985A Theory of the Term Structure of Interest Rates8,333 cited
1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
1997Empirical Performance of Alternative Option Pricing Models2,708 cited
1999Option valuation using the fast Fourier transform2,155 cited
1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
2010Towards a Theory of Volatility Trading561 cited
2002Dynamics of implied volatility surfaces433 cited
1998Volatility: New Estimation Techniques for Pricing Derivatives104 cited
2001IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY74 cited

Cited by

2010PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS43 cited
2007Indifference Pricing and Hedging for Volatility Derivatives29 cited

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