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FX Options and Smile Risk
16 references·2 citing·35 second hop
FX Options and Smile Risk (2010)FX Options and Smile RiskFX Options and Structured Products (2017)FX Options and Structured Pro…Arbitrage-free smoothing of the implied volatility surface (2009)Arbitrage-free smoothing of t…Volatility surfaces: theory, rules of thumb, and empirical evidence (2007)Volatility surfaces: theory, …Theory of rational option pricing (2005)Theory of rational option pri…Volatility and Correlation (2004)Volatility and CorrelationTHE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES (2004)THE MOMENT FORMULA FOR IMPLIE…Stochastic calculus for finance (2004)Stochastic calculus for finan…A market model for stochastic implied volatility (1999)A market model for stochastic…Estimating the Probability Distribution of the Future Exchange Rate from Option Prices (1997)Estimating the Probability Di…A note on a simple, accurate formula to compute implied standard deviations (1996)A note on a simple, accurate …A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Foreign currency option values (1983)Foreign currency option valuesThe Calculation of Implied Variances from the Black-Scholes Model: A Note (1982)The Calculation of Implied Va…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Arbitrage-free implied volatility surfaces for options on single stock futures (2013)Arbitrage-free implied volati…Pricing of Derivatives Contracts under Collateral Agreements: Liquidity and Funding Value Adjustments (2011)Pricing of Derivatives Contra…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Prices of State-Contingent Claims Implicit in Option Prices (1978)Implied Binomial Trees (1994)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)A Quantile Regression Approach to Estimating the Distribution of Multiperiod Returns (1999)Option-Implied Risk-Neutral Distributions and Risk Aversion (2004)Estimating the Implied Risk‐Neutral Density for the US Market Portfolio* (2010)Theory of Rational Option Pricing (1973)Efficient Analytic Approximation of American Option Values (1987)Arbitrage Theory in Continuous Time (2004)Carry Trades and Global Foreign Exchange Volatility (2012)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)Arbitrage-free SVI volatility surfaces (2013)Crash-neutral currency carry trades (2014)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Dynamic Asset Pricing Theory. (1993)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Optimization Methods in Finance (2006)Waiting for News in the Market for Lemons (2012)War Signals: A Theory of Trade, Trust, and Conflict (2013)Handbook of Financial Engineering (2008)Riding on the smiles (2011)The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes (2011)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1983Foreign currency option values1,078 cited
  • 2004Stochastic calculus for finance365 cited
  • 2004THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES335 cited
  • 2004Volatility and Correlation253 cited
  • 1997Estimating the Probability Distribution of the Future Exchange Rate from Option Prices239 cited
  • 2009Arbitrage-free smoothing of the implied volatility surface170 cited
  • 1999A market model for stochastic implied volatility158 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
  • 2017FX Options and Structured Products90 cited
  • 2007

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Volatility surfaces: theory, rules of thumb, and empirical evidence
86 cited

Cited by

  • 2013Arbitrage-free implied volatility surfaces for options on single stock futures24 cited
  • 2011Pricing of Derivatives Contracts under Collateral Agreements: Liquidity and Funding Value Adjustments22 cited