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Stylized patterns of implied volatility in India : a case study of NSE Nifty options

Shaikh, Imlak; Padhi, Puja - In: Journal of Indian business research 6 (2014) 3, pp. 231-254

Persistent link: https://www.econbiz.de/10010492684

Boundary evolution equations for American options

Mitchell, Daniel; Goodman, Jonathan; Muthuraman, Kumar - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 505-532

Persistent link: https://www.econbiz.de/10010486015

Robust option pricing

Bandi, Chaithanya; Bertsimas, Dimitris - In: European journal of operational research : EJOR 239 (2014) 3, pp. 842-853

Persistent link: https://www.econbiz.de/10010411468

The normalizing transformation of the implied volatility smile

Fukasawa, Masaaki - In: Mathematical finance : an international journal of … 22 (2012) 4, pp. 753-762

Persistent link: https://www.econbiz.de/10009614936

Asymptotics of implied volatility in local volatility models

Gatheral, Jim; Hsu, Elton P.; Laurence, Peter; Cheng Ouyang - In: Mathematical finance : an international journal of … 22 (2012) 4, pp. 591-620

Persistent link: https://www.econbiz.de/10009614946

The analysis of implied volatilities

Fengler, Matthias R.; Härdle, Wolfgang; Schmidt, Peter - 2001

The analysis of volatility in financial markets has become a first rank issue in modern financial theory and practice …: Whether in risk management, portfolio hedging, or option pricing, we need to have a precise notion of the market's expectation … of volatility. Much research has been done on the analysis of realized historic volatilities, Roll (1977) and references …

Persistent link: https://www.econbiz.de/10009615424

Lognormal forward market model (LFM) volatility function approximation

Chung, In-hwan; Dun, Tim; Schlögl, Erik - In: Contemporary quantitative finance : essays in honour of …, (pp. 369-405). 2010

Persistent link: https://www.econbiz.de/10008749176

Using Richardson extrapolation techniques to price American options with alternative stochastic processes

Chang, Chuang-chang; Lin, Jun-biao; Tsai, Wei-che; … - In: Review of quantitative finance and accounting 39 (2012) 3, pp. 383-406

Persistent link: https://www.econbiz.de/10009673702

Option pricing via maximization over uncertainty and correction of volatility smile

Dokučaev, Nikolaj G. - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 507-524

Persistent link: https://www.econbiz.de/10009269369

Forecasting performance of volatility models for pricing S&P CNX Nifty index options via Black-Scholes model

Singh, Vipul Kumar; Ahmad, Naseem - In: The IUP journal of applied finance : IJAF 17 (2011) 3, pp. 53-67

Persistent link: https://www.econbiz.de/10009270171