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Calibrating volatility surfaces via relative-entropy minimization
10 references·16 citing·37 second hop
Calibrating volatility surfaces via relative-entropy minimization (1997)Calibrating volatility surfaces via relat…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…The Maximum Entropy Distribution of an Asset Inferred from Option Prices (1996)The Maximum Entropy Distribut…Recovering Probability Distributions from Option Prices (1996)Recovering Probability Distri…Pricing and hedging derivative securities in markets with uncertain volatilities (1995)Pricing and hedging derivativ…Implied Binomial Trees (1994)Implied Binomial TreesControlled Diffusion Processes (1980)Controlled Diffusion ProcessesOption pricing: A simplified approach (1979)Option pricing: A simplified …Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…The Entropy Law and the Economic Process. (1973)The Entropy Law and the Econo…The Entropy Law and the Economic Process (1971)The Entropy Law and the Econo…Robust risk measurement and model risk (2013)Robust risk measurement and m…Systematic stress tests with entropic plausibility constraints (2012)Systematic stress tests with …Arbitrage-free smoothing of the implied volatility surface (2009)Arbitrage-free smoothing of t…Implied Volatility: Statics, Dynamics, and Probabilistic Interpretation (2006)Implied Volatility: Statics, …Recovering volatility from option prices by evolutionary optimization (2005)Recovering volatility from op…Option-Implied Risk-Neutral Distributions and Risk Aversion (2004)Option-Implied Risk-Neutral D…The Dynamics of Implied Volatilities: A Common Principal Components Approach (2003)The Dynamics of Implied Volat…LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES (2002)LOGNORMAL-MIXTURE DYNAMICS AN…Calibration of the local volatility in a trinomial tree using Tikhonov regularization (2002)Calibration of the local vola…Asymptotics and calibration of local volatility models (2002)Asymptotics and calibration o…MEAN-REVERTING STOCHASTIC VOLATILITY (2000)MEAN-REVERTING STOCHASTIC VOL…Reconstructing the unknown local volatility function (1999)Reconstructing the unknown lo…Option-Implied Risk-Neutral Distributions and Implied Binomial Trees (1999)Option-Implied Risk-Neutral D…Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Pricing (1999)Jump-Diffusion Processes: Vol…Minimum-Relative-Entropy Calibration of Asset-Pricing Models (1998)Minimum-Relative-Entropy Cali…The inverse problem of option pricing (1997)The inverse problem of option…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)Theory of Value (1959)Implied Volatility Functions: Empirical Tests (1998)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Theory of rational option pricing (2005)Martingales and arbitrage in multiperiod securities markets (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Approximate option valuation for arbitrary stochastic processes (1982)Pricing and hedging in incomplete markets (2001)Entropy densities with an application to autoregressive conditional skewness and kurtosis (2002)Testing the stability of implied probability density functions (2002)The valuation of options for alternative stochastic processes (1976)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)Theory of Rational Option Pricing (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Stochastic Differential Utility (1992)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (1998)Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (1998)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Energy and Economic Myths (1975)Micro-meso-macro (2004)Does higher economic and financial development lead to environmental degradation: Evidence from BRIC countries (2008)Transaction Cost Economics: How It Works; Where It is Headed (1998)Marx's Theory of Metabolic Rift: Classical Foundations for Environmental Sociology (1999)
this work references cited by second hop

References

  • 1979Option pricing: A simplified approach6,103 cited
  • 1971The Entropy Law and the Economic Process4,952 cited
  • 1973The Entropy Law and the Economic Process.2,985 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1994Implied Binomial Trees1,749 cited
  • 1980Controlled Diffusion Processes1,311 cited
  • 1996Recovering Probability Distributions from Option Prices1,086 cited
  • 1995Pricing and hedging derivative securities in markets with uncertain volatilities681 cited
  • 1996The Maximum Entropy Distribution of an Asset Inferred from Option Prices331 cited

Cited by

  • 1999Option-Implied Risk-Neutral Distributions and Implied Binomial Trees246 cited
  • 2013Robust risk measurement and model risk207 cited
  • 2002Asymptotics and calibration of local volatility models203 cited
  • 2000MEAN-REVERTING STOCHASTIC VOLATILITY176 cited
  • 2009Arbitrage-free smoothing of the implied volatility surface170 cited
  • 2002LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES

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135 cited
  • 2004Option-Implied Risk-Neutral Distributions and Risk Aversion134 cited
  • 1999Reconstructing the unknown local volatility function133 cited
  • 1998Minimum-Relative-Entropy Calibration of Asset-Pricing Models132 cited
  • 2003The Dynamics of Implied Volatilities: A Common Principal Components Approach125 cited
  • 1997The inverse problem of option pricing117 cited
  • 2005Recovering volatility from option prices by evolutionary optimization110 cited
  • 2006Implied Volatility: Statics, Dynamics, and Probabilistic Interpretation102 cited
  • 2012Systematic stress tests with entropic plausibility constraints102 cited
  • 2002Calibration of the local volatility in a trinomial tree using Tikhonov regularization95 cited
  • 1999Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Pricing95 cited