Volatility surfaces: theory, rules of thumb, and empirical evidence
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Publication:5433097
DOI10.1080/14697680601087883zbMath1151.91498OpenAlexW2030525059MaRDI QIDQ5433097
J. C. Hull, Toby Daglish, W. Suo
Publication date: 19 December 2007
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680601087883
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Related Items (5)
TERM STRUCTURE OF VANILLA OPTIONS ⋮ Arbitrage-Free Neural-SDE Market Models ⋮ Dynamics of the implied volatility surface. Theory and empirical evidence ⋮ A closed-form solution for outperformance options with stochastic correlation and stochastic volatility ⋮ A deposit insurance pricing with a multi-state regime-switching volatility
Cites Work
- The Pricing of Options and Corporate Liabilities
- The dynamics of the S\&P 500 implied volatility surface
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- A market model for stochastic implied volatility
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
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