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Uniform Bounds for Black--Scholes Implied Volatility
16 references·0 citing·43 second hop
Uniform Bounds for Black--Scholes Implied Volatility (2016)Uniform Bounds for Black--Scholes Implied…Asymptotics of implied volatility to arbitrary order (2014)Asymptotics of implied volati…Analytically Tractable Stochastic Stock Price Models (2012)Analytically Tractable Stocha…Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes (2010)Asymptotic Formulas with Erro…REGULAR VARIATION AND SMILE ASYMPTOTICS (2009)REGULAR VARIATION AND SMILE A…Smile Asymptotics II: Models with Known Moment Generating Functions (2008)Smile Asymptotics II: Models …Local martingales, bubbles and option prices (2005)Local martingales, bubbles an…THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES (2004)THE MOMENT FORMULA FOR IMPLIE…The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The fundamental theorem of as…Lectures on the Mathematics of Finance (1996)Lectures on the Mathematics o…A note on a simple, accurate formula to compute implied standard deviations (1996)A note on a simple, accurate …Optimal Control of Favorable Games with a Time Limit (1993)Optimal Control of Favorable …A Simple Formula to Compute the Implied Standard Deviation (1988)A Simple Formula to Compute t…The Calculation of Implied Variances from the Black-Scholes Model: A Note (1982)The Calculation of Implied Va…STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES (1976)STANDARD DEVIATIONS OF STOCK …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Theory of Rational Option Pricing (1973)Advanced modelling in finance using Excel and VBA (2001)Theory of rational option pricing (2005)Approximate inversion of the Black–Scholes formula using rational functions (2007)The secret life of UK trade credit supply: Setting a new research agenda (2008)Prices of State-Contingent Claims Implicit in Option Prices (1978)Martingales and stochastic integrals in the theory of continuous trading (1981)The Pricing of Options on Assets with Stochastic Volatilities (1987)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices (2010)Arbitrage-free SVI volatility surfaces (2013)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)Crash-neutral currency carry trades (2014)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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Martingales and arbitrage in multiperiod securities markets (1979)LIBOR and swap market models and measures (1997)A Benchmark Approach to Quantitative Finance (2006)MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Continuous Martingales and Brownian Motion (1999)Option valuation using the fast Fourier transform (1999)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Processes of normal inverse Gaussian type (1997)Lévy processes in finance pricing financial derivatives (2003)Lévy Processes in Finance (2003)MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS (2010)Pricing and Hedging in Exponential Lévy Models: Review of Recent Results (2010)Forecasting with Option-Implied Information (2013)Catastrophe Risk Bonds (2000)Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach (2002)Optimal investment decisions when time-horizon is uncertain (2008)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)Implied Volatility (1995)Variance Risk Premia (2004)Volatility Derivatives (2009)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1998The Variance Gamma Process and Option Pricing1,786 cited
  • 1998The fundamental theorem of asset pricing for unbounded stochastic processes710 cited
  • 1976STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES642 cited
  • 2004THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES335 cited
  • 2005Local martingales, bubbles and option prices234 cited
  • 1988A Simple Formula to Compute the Implied Standard Deviation194 cited
  • 1996Lectures on the Mathematics of Finance180 cited
  • 2009REGULAR VARIATION AND SMILE ASYMPTOTICS133 cited
  • 1996A note on a simple, accurate formula to compute implied standard deviations114 cited
  • 1982The Calculation of Implied Variances from the Black-Scholes Model: A Note111 cited
  • 2008Smile Asymptotics II: Models with Known Moment Generating Functions80 cited
  • 2014Asymptotics of implied volatility to arbitrary order80 cited
  • 1993Optimal Control of Favorable Games with a Time Limit78 cited
  • 2012Analytically Tractable Stochastic Stock Price Models71 cited
  • 2010

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Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
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