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Option Data and Modeling BSM Implied Volatility
16 references·1 citing·27 second hop
Option Data and Modeling BSM Implied Volatility (2011)Option Data and Modeling BSM Implied Vola…Encyclopedia of Quantitative Finance (2010)Encyclopedia of Quantitative …The Volatility Surface: A Practitioner's Guide (2006)The Volatility Surface: A Pra…Theory of rational option pricing (2005)Theory of rational option pri…THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES (2004)THE MOMENT FORMULA FOR IMPLIE…The Finite Moment Log Stable Process and Option Pricing (2003)The Finite Moment Log Stable …Dynamics of implied volatility surfaces (2002)Dynamics of implied volatilit…Stochastic Calculus and Financial Applications (2001)Stochastic Calculus and Finan…Pricing Financial Instruments: The Finite Difference Method (2000)Pricing Financial Instruments…Option Prices, Implied Price Processes, and Stochastic Volatility (2000)Option Prices, Implied Price …Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (1998)Nonparametric Estimation of S…Implied Volatility Functions: Empirical Tests (1998)Implied Volatility Functions:…Implied Binomial Trees (1994)Implied Binomial TreesA Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES (1976)STANDARD DEVIATIONS OF STOCK …Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Detecting and Repairing Arbitrage in Traded Option Prices (2020)Detecting and Repairing Arbit…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The Pricing of Options on Assets with Stochastic Volatilities (1987)The Model-Free Implied Volatility and Its Information Content (2005)Tails, Fears, and Risk Premia (2011)The VIX, the variance premium and stock market volatility (2014)The valuation of options for alternative stochastic processes (1976)Option pricing: A simplified approach (1979)Post-'87 crash fears in the S&P 500 futures option market (2000)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)An Engine, Not a Camera (2006)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Stock market volatility and the information content of stock index options (1992)Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns (2001)Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements (2005)Recovering Risk Aversion from Option Prices and Realized Returns (2000)Econophysics review: I. Empirical facts (2011)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Pricing under rough volatility (2015)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1994Implied Binomial Trees1,749 cited
  • 1998Implied Volatility Functions: Empirical Tests1,248 cited
  • 1998Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices1,060 cited
  • 2000Option Prices, Implied Price Processes, and Stochastic Volatility937 cited
  • 2006The Volatility Surface: A Practitioner's Guide735 cited
  • 1976STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES642 cited
  • 2003The Finite Moment Log Stable Process and Option Pricing517 cited
  • 2001Stochastic Calculus and Financial Applications501 cited
  • 2000Pricing Financial Instruments: The Finite Difference Method478 cited
  • 2002Dynamics of implied volatility surfaces433 cited
  • 2004THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES335 cited
  • 2010

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Encyclopedia of Quantitative Finance
294 cited

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  • 2020Detecting and Repairing Arbitrage in Traded Option Prices31 cited