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LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS
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LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS (2016)LEVERAGED ETF IMPLIED VOLATILITIES FROM E…Explicit implied volatilities for multifactor local-stochastic volatility models (2017)Explicit implied volatilities…The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model (2012)The Small-Time Smile and Term…PDE and Martingale Methods in Option Pricing (2011)PDE and Martingale Methods in…Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Multiscale Stochastic Volatil…Time Dependent Heston Model (2010)Time Dependent Heston ModelPath-Dependence of Leveraged ETF Returns (2010)Path-Dependence of Leveraged …ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS (2010)ASYMPTOTICS OF IMPLIED VOLATI…The Dynamics of Leveraged and Inverse Exchange-Traded Funds (2009)The Dynamics of Leveraged and…Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing (2008)Analysis, Geometry, and Model…A new approach for option pricing under stochastic volatility (2007)A new approach for option pri…Options and Bubbles (2006)Options and BubblesCorrelations and bounds for stochastic volatility models (2006)Correlations and bounds for s…Volatility skews and extensions of the Libor market model (2000)Volatility skews and extensio…Equivalent Black volatilities (1999)Equivalent Black volatilitiesEmpirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…The Pricing of Options and Corporate Liabilities (1973)Brownian Motion and Stochastic Calculus (2007)A regime-switching Heston model for VIX and S&P 500 implied volatilities (2013)Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities (2016)A sequential sampling strategy for extreme event statistics in nonlinear dynamical systems (2018)Option Pricing and Replication with Transactions Costs (1985)The pricing and performance of leveraged exchange-traded funds (2010)Exchange-Traded Funds, Market Structure, and the Flash Crash (2012)A Theory of the Term Structure of Interest Rates (1985)Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance (2007)On the martingale property of certain local martingales (2010)How to Detect an Asset Bubble (2011)Theory of Rational Option Pricing (1973)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)The Pricing of Options on Assets with Stochastic Volatilities (1987)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL (2009)Short-time at-the-money skew and rough fractional volatility (2016)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)Theory of constant proportion portfolio insurance (1992)Understanding the risk of leveraged ETFs (2010)Solving the Return Deviation Conundrum of Leveraged Exchange-Traded Funds (2013)An equilibrium characterization of the term structure (1977)A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model (2000)The Term Structure of Simple Forward Rates with Jump Risk (2003)Extended Libor market models with stochastic volatility (2005)Continuous Martingales and Brownian Motion (1999)Smart expansion and fast calibration for jump diffusions (2009)Riding on the smiles (2011)Numerical Solution of Stochastic Differential Equations (2016)Pricing climate-related risks in the bond market (2021)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 2011Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives329 cited
  • 2011PDE and Martingale Methods in Option Pricing278 cited
  • 2000Volatility skews and extensions of the Libor market model277 cited
  • 2006Options and Bubbles206 cited
  • 2009The Dynamics of Leveraged and Inverse Exchange-Traded Funds178 cited
  • 2010Path-Dependence of Leveraged ETF Returns177 cited
  • 2010ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS165 cited
  • 2010Time Dependent Heston Model160 cited
  • 2007A new approach for option pricing under stochastic volatility151 cited
  • 1999Equivalent Black volatilities133 cited
  • 2012The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model116 cited
  • 2006Correlations and bounds for stochastic volatility models106 cited
  • 2008Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing92 cited

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2017
Explicit implied volatilities for multifactor local-stochastic volatility models
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