MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX
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Publication:5198953
DOI10.1142/S0219024911006681zbMath1218.91050MaRDI QIDQ5198953
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Publication date: 10 August 2011
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
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Related Items (3)
Asymptotic expansion formula of option price under multifactor Heston model ⋮ Implicit expectiles and measures of implied volatility ⋮ VOLATILITY DERIVATIVES AND MODEL-FREE IMPLIED LEVERAGE
Cites Work
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
- The use of subseries values for estimating the variance of a general statistic from a stationary sequence
- Can the implied volatility surface move by parallel shifts?
- Microstructure Noise, Realized Variance, and Optimal Sampling
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- A Tale of Two Time Scales
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