SZodixStudyAcademic Library

Dashboard Shelves Open access My library Inbox Notes Write Learn Alerts

More

Ask your library Notifications Quick cite Review

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

Option Data and Modeling BSM Implied Volatility · Study

ChapterShelves

ChapterOption Data and Modeling BSM Implied Volatility

Matthias Reginald Fengler2011

Chapter2011

Option Data and Modeling BSM Implied Volatility

Matthias Reginald Fengler

33 citations·0/0 files stored·Springer eBooks

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

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

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 33 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1994Implied Binomial Trees 1998Implied Volatility Functions: Empirical Tests 1998Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices 2000Option Prices, Implied Price Processes, and Stochastic Volatility

Cited by

2020Detecting and Repairing Arbitrage in Traded Option Prices

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2021Implied volatility estimation of bitcoin options and the stylized facts of option pricingarticle · 11 shared references 2004Option-Implied Risk-Neutral Distributions and Risk Aversionbook · 10 shared references 2013Forecasting with Option-Implied Informationchapter · 9 shared references 2017A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamicspreprint · 9 shared references 2013Predictable Dynamics in Higher-Order Risk-Neutral Moments: Evidence from the S&P 500 Optionsarticle · 8 shared references 2007Volatility surfaces: theory, rules of thumb, and empirical evidencearticle · 8 shared references

Details

Year2011

Typechapter

Published2011-07-10

VenueSpringer eBooks

Languageen

Citations33

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1007/978-3-642-17254-0_6

openalex_workW2160253167

Links

Imported from OpenAlex (CC0) — nothing here is generated.