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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

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 … of volatility. Much research has been done on the analysis of realized historic volatilities, Roll (1977) and references … solved for the constant volatility parameter a using observed option prices. This is a more natural approach as the option …

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

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

Hedging European derivatives with the polynomial variance swap under uncertain volatility environments

Takahashi, Akihiko; Tsuzuki, Yukihiro; Yamazaki, Akira - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 485-505

Persistent link: https://www.econbiz.de/10009269373

Target volatility option pricing

Di Graziano, Giuseppe; Torricelli, Lorenzo - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10009562145

Comparison of Black-Scholes formula with fractional Black-Scholes formula in the foreign exchange option market with changing volatility

Meng, Li; Wang, Mei - In: Asia-Pacific financial markets 17 (2010) 2, pp. 99-111

Persistent link: https://www.econbiz.de/10009237122

The instantaneous volatility and the implied volatility surface for a generalized black-scholes model

Takaoka, Koichiro; Futami, Hidenori - In: Asia-Pacific financial markets 17 (2010) 4, pp. 391-436

Persistent link: https://www.econbiz.de/10009237752