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Analysis of Implied Volatility...
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A two-step framework for arbitrage-free prediction of the implied volatility surface
Zhang, Wenyong
;
Li, Lingfei
;
Zhang, Gongqiu
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 21-34
Persistent link: https://www.econbiz.de/10013490950
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Short-dated smile under rough volatility : asymptotics and numerics
Friz, Peter K.
;
Gassiat, Paul
;
Pigato, Paolo
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 463-480
Persistent link: https://www.econbiz.de/10013167770
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3
Implied volatility directional forecasting : a machine learning approach
Vrontos, Spyridon D.
;
Galakis, John
;
Vrontos, Ioannis D.
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1687-1706
Persistent link: https://www.econbiz.de/10012653707
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4
Fractional stochastic volatility correction to CEV implied volatility
Kim, Hyun-Gyoon
;
Kwon, Se-Jin
;
Kim, Jeong-Hoon
- In:
Quantitative finance
21
(
2021
)
4
,
pp. 565-574
Persistent link: https://www.econbiz.de/10012483839
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5
Implied volatility sentiment : a tale of two tails
Félix, Luiz
;
Kräussl, Roman
;
Stork, Philip
- In:
Quantitative finance
20
(
2020
)
5
,
pp. 823-849
Persistent link: https://www.econbiz.de/10012262625
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6
Implicit expectiles and measures of implied volatility
Bellini, Fabio
;
Mercuri, Lorenzo
;
Rroji, Edit
- In:
Quantitative finance
18
(
2018
)
11
,
pp. 1851-1864
Persistent link: https://www.econbiz.de/10012262851
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7
Turbocharging Monte Carlo pricing for the rough Bergomi model
McCrickerd, Ryan
;
Pakkanen, Mikko S.
- In:
Quantitative finance
18
(
2018
)
11
,
pp. 1877-1886
Persistent link: https://www.econbiz.de/10012262858
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8
On VIX futures in the rough Bergomi model
Jacquier, Antoine
;
Martini, Claude
;
Muguruza, Aitor
- In:
Quantitative finance
18
(
2018
)
1
,
pp. 45-61
Persistent link: https://www.econbiz.de/10011905829
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9
Moment generating functions and normalized implied volatilities : unification and extension via Fukasawa's pricing formula
De Marco, Stefano
;
Martini, Claude
- In:
Quantitative finance
18
(
2018
)
4
,
pp. 609-622
Persistent link: https://www.econbiz.de/10011906443
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10
Dynamics of foreign exchange implied volatility and implied correlation surfaces
Beer, Simone
;
Fink, Holger Maria
- In:
Quantitative finance
19
(
2019
)
8
,
pp. 1293-1320
Persistent link: https://www.econbiz.de/10012194789
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