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An application of nonparametric volatility estimators to option pricing

Kenmoe, Romuald N.; Sanfelici, Simona - In: Decisions in economics and finance : DEF ; a journal of … 37 (2014) 2, pp. 393-412

Persistent link: https://www.econbiz.de/10010412432

The normalizing transformation of the implied volatility smile

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

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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

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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

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

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

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Target volatility option pricing

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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

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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