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Convergence of At-The-Money Implied Volatilities to the Spot Volatility
9 references·0 citing·38 second hop
Convergence of At-The-Money Implied Volatilities to the Spot Volatility (2008)Convergence of At-The-Money Implied Volat…From implied to spot volatilities (2009)From implied to spot volatili…Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility (2006)Approximation and Calibration…Computing the implied volatility in stochastic volatility models (2004)Computing the implied volatil…What Type of Process Underlies Options? A Simple Robust Test (2003)What Type of Process Underlie…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Asymptotics and calibration of local volatility models (2002)Asymptotics and calibration o…A market model for stochastic implied volatility (1999)A market model for stochastic…Robustness of the Black and Scholes Formula (1998)Robustness of the Black and S…Sur l'int�grabilit� uniforme des martingales exponentielles (1978)Sur l'int�grabilit� uniforme …The Pricing of Options and Corporate Liabilities (1973)Contingent Claims and Market Completeness in a Stochastic Volatility Model (1997)Pricing and Hedging Spread Options (2003)Theory of rational option pricing (2005)MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)Brownian Motion and Stochastic Calculus (2007)On Square Integrable Martingales (1967)Stochastic Differential Equations (1972)Optimal portfolio for a small investor in a market model with discontinuous prices (1990)Equivalent and Absolutely Continuous Measure Changes for Jump-Diffusion Processes (2005)Stochastic Differential Equations (2006)Dynamic risk measures: Time consistency and risk measures from BMO martingales (2007)Theory of Rational Option Pricing (1973)A General Asymptotic Implied Volatility for Stochastic Volatility Models (2005)SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL (2009)ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS (2010)Option pricing when underlying stock returns are discontinuous (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Option valuation with conditional skewness (2005)Testing for jumps when asset prices are observed with noise–a “swap variance” approach (2008)The risk premia embedded in index options (2015)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)The Dynamics of Implied Volatilities: A Common Principal Components Approach (2003)Riding on the smiles (2011)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Can the implied volatility surface move by parallel shifts? (2008)Implied Stochastic Volatility Models (2020)Volatility Is (Mostly) Path-Dependent (2022)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Options on realized variance by transform methods: a non-affine stochastic volatility model (2011)Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions (2017)Rough volatility: Evidence from option prices (2018)Time Dependent Heston Model (2010)The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model (2012)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Microstructure noise in the continuous case: The pre-averaging approach (2008)Tails, Fears, and Risk Premia (2011)
this work references cited by second hop

References

  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 1998Robustness of the Black and Scholes Formula363 cited
  • 2003What Type of Process Underlies Options? A Simple Robust Test296 cited
  • 2004Computing the implied volatility in stochastic volatility models222 cited
  • 2002Asymptotics and calibration of local volatility models203 cited
  • 1978Sur l'int�grabilit� uniforme des martingales exponentielles162 cited
  • 1999A market model for stochastic implied volatility158 cited
  • 2006Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility116 cited
  • 2009From implied to spot volatilities80 cited

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