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Maturity cycles in implied volatility · Study

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ArticleMaturity cycles in implied volatility

Jean‐Pierre Fouque2004

Article2004

Maturity cycles in implied volatility

Jean‐Pierre Fouque · George Papanicolaou · Ronnie Sircar · Knut Sølna

59 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1987The Pricing of Options on Assets with Stochastic Volatilities 2002A Jump-Diffusion Model for Option Pricing 1998The Variance Gamma Process and Option Pricing 1997Intraday periodicity and volatility persistence in financial markets 2002Range‐Based Estimation of Stochastic Volatility Models 1998Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices 2000Derivatives in Financial Markets with Stochastic Volatility

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2020Closed-form implied volatility surfaces for stochastic volatility models with jumps 2018Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options

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2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 7 shared references 2004Option Pricing: Valuation Models and Applicationsarticle · 7 shared references 2010Asymptotic analysis for stochastic volatility: martingale expansionarticle · 7 shared references 2006Implied Volatility: Statics, Dynamics, and Probabilistic Interpretationchapter · 7 shared references 2009Pricing options under stochastic volatility: a power series approacharticle · 7 shared references 2004An Option Pricing Formula for the GARCH Diffusion Modelpreprint · 7 shared references

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Year2004

Typearticle

Published2004-09-18

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations59

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-004-0126-7

openalex_workW2148334170

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