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Cited by

• 2009Arbitrage-free smoothing of the implied volatility surface170 cited
• 2003Numerical convergence properties of option pricing PDEs with uncertain volatility157 cited
• 2009Principal Component Analysis145 cited
• 2004Option-Implied Risk-Neutral Distributions and Risk Aversion134 cited
• 1999Reconstructing the unknown local volatility function133 cited
• 2002A Methodology for Assessing Model Risk and Its Application to the Implied Volatility Function Model112 cited
• 2006Implied Volatility: Statics, Dynamics, and Probabilistic Interpretation102 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
• 2007Volatility surfaces: theory, rules of thumb, and empirical evidence86 cited
• 1999Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review78 cited
• 2001IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY74 cited
• 2000The Dynamics of DAX Implied Volatilities68 cited
• 2002Static replication of barrier options: some general results62 cited