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Arbitrage-Free SVI Volatility Surfaces
16 references·1 citing·36 second hop
Arbitrage-Free SVI Volatility Surfaces (2012)Arbitrage-Free SVI Volatility SurfacesAnalyzing volatility risk and risk premium in option contracts: A new theory (2016)Analyzing volatility risk and…PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS (2009)PUT‐CALL SYMMETRY: EXTENSIONS…Arbitrage-free smoothing of the implied volatility surface (2009)Arbitrage-free smoothing of t…Can the implied volatility surface move by parallel shifts? (2008)Can the implied volatility su…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…The Volatility Surface: A Practitioner's Guide (2006)The Volatility Surface: A Pra…Local martingales, bubbles and option prices (2005)Local martingales, bubbles an…A note on sufficient conditions for no arbitrage (2005)A note on sufficient conditio…THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES (2004)THE MOMENT FORMULA FOR IMPLIE…Stochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…Stochastic Finance (2002)Stochastic FinanceBrownian Motion and Stochastic Calculus (1998)Brownian Motion and Stochasti…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…Forecasting the Distribution of Option Returns (2017)Forecasting the Distribution …The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of Value (1959)Implied Binomial Trees (1994)Implied Volatility Functions: Empirical Tests (1998)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Theory of rational option pricing (2005)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)The pricing of commodity contracts (1976)A Jump-Diffusion Model for Option Pricing (2002)Option pricing by transform methods: extensions, unification and error control (2004)Arbitrage-free SVI volatility surfaces (2013)Crash-neutral currency carry trades (2014)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The variation of certain speculative prices (1997)Generalized deviations in risk analysis (2005)Utility maximization in incomplete markets (2005)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Econophysics review: I. Empirical facts (2011)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Pricing under rough volatility (2015)Dynamic exponential utility indifference valuation (2005)The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices (2010)Does Option Compensation Increase Managerial Risk Appetite? (2000)Range‐Based Estimation of Stochastic Volatility Models (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1998Brownian Motion and Stochastic Calculus2,043 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
  • 2006The Volatility Surface: A Practitioner's Guide735 cited
  • 2004THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES335 cited
  • 2002Stochastic Finance251 cited
  • 2005Local martingales, bubbles and option prices234 cited
  • 2009Arbitrage-free smoothing of the implied volatility surface170 cited
  • 2005A note on sufficient conditions for no arbitrage165 cited
  • 2009PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS123 cited
  • 2016Analyzing volatility risk and risk premium in option contracts: A new theory105 cited
  • 2008Can the implied volatility surface move by parallel shifts?

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  • 2017Forecasting the Distribution of Option Returns31 cited