VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY

DOI10.1142/S021902490100105XzbMath1152.91551OpenAlexW2051752821MaRDI QIDQ3523580

George Skiadopoulos

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902490100105x

zbMATH Keywords

stochastic volatility modelsdiscrete and continuous timedeterministic volatility modelssmile consistent

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (11)

Empirical option pricing: A retrospection ⋮ On the duality principle in option pricing: semimartingale setting ⋮ Implied non-recombining trees and calibration for the volatility smile ⋮ The waterline tree for separable local-volatility models ⋮ Model-free price hedge ratios for homogeneous claims on tradable assets ⋮ Arbitrage-free market models for option prices: the multi-strike case ⋮ On the no-arbitrage condition in option implied trees ⋮ PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY ⋮ Non-recombining trinomial tree pricing model and calibration for the volatility smile ⋮ IMPLIED VOLATILITY TREES AND PRICING PERFORMANCE: EVIDENCE FROM THE S&P 100 OPTIONS ⋮ A deposit insurance pricing with a multi-state regime-switching volatility

Cites Work

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• The dynamics of the S\&P 500 implied volatility surface
• Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
• A Theory of the Term Structure of Interest Rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Option and Futures Evaluation With Deterministic Volatilities¹
• Calibrating volatility surfaces via relative-entropy minimization
• An equilibrium characterization of the term structure
• Option pricing when underlying stock returns are discontinuous
• Option pricing: A simplified approach

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