A Remark on Gatheral’s ‘Most-Likely Path Approximation’ of Implied Volatility

Large Deviations and Asymptotic Methods in Finance - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-3-319-11605-1_8 ◽

2015 ◽

pp. 239-245 ◽

Author(s):

Martin Keller-Ressel ◽

Josef Teichmann

Keyword(s):

Implied Volatility ◽

Path Approximation

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A Remark on Gatheral's 'Most-Likely Path Approximation' of Implied Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.1499082 ◽

2009 ◽

Author(s):

Martin Keller-Ressel ◽

Josef Teichmann

Keyword(s):

Implied Volatility ◽

Path Approximation

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A mathematical programming with equilibrium constraints approach to the implied volatility surface of American options

The Journal of Computational Finance ◽

10.21314/jcf.2000.054 ◽

2000 ◽

Vol 4 (1) ◽

pp. 21-56 ◽

Author(s):

Jacqueline Huang ◽

Jong-Shi Pang

Keyword(s):

Mathematical Programming ◽

Implied Volatility ◽

American Options ◽

Equilibrium Constraints ◽

Implied Volatility Surface ◽

Volatility Surface

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Implied volatility surface reconstruction for energy markets: spot price modeling versus surface parametrization

The Journal of Energy Markets ◽

10.21314/jem.2011.060 ◽

2011 ◽

Vol 4 (2) ◽

pp. 67-85 ◽

Author(s):

Mikhail Deryabin

Keyword(s):

Surface Reconstruction ◽

Implied Volatility ◽

Energy Markets ◽

Implied Volatility Surface ◽

Volatility Surface

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A Taylor series approach to pricing and implied volatility for local–stochastic volatility models

The Journal of Risk ◽

10.21314/jor.2014.297 ◽

2014 ◽

Vol 17 (2) ◽

pp. 3-19 ◽

Author(s):

Matthew Lorig ◽

Stefano Pagliarani ◽

Andrea Pascucci

Keyword(s):

Stochastic Volatility ◽

Taylor Series ◽

Implied Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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Estimating the Yield-Curve - An Implied Volatility Approach (in Danish)

SSRN Electronic Journal ◽

10.2139/ssrn.1484940 ◽

1994 ◽

Author(s):

Claus Anderskov Madsen

Keyword(s):

Implied Volatility ◽

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The Term Structure of Implied Volatility in Symmetric Models with Applications to Heston

SSRN Electronic Journal ◽

10.2139/ssrn.1622828 ◽

2010 ◽

Author(s):

Stefano De Marco ◽

Claude Martini

Keyword(s):

Term Structure ◽

Implied Volatility

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Coarse Thinking, Implied Volatility, and the Price of Call and Put Options

SSRN Electronic Journal ◽

10.2139/ssrn.1636247 ◽

2010 ◽

Author(s):

Hammad Siddiqi

Keyword(s):

Implied Volatility ◽

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Discretely Rebalanced Option Hedge with Fixed Marginal Transaction Cost and Resolution to Implied Volatility Smile

SSRN Electronic Journal ◽

10.2139/ssrn.1786027 ◽

2011 ◽

Author(s):

Chen Guo

Keyword(s):

Transaction Cost ◽

Implied Volatility ◽

Volatility Smile

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Enhanced Valuation of European Options Under Jump Processes and Innovative Characterization of Implied Volatility Smile

SSRN Electronic Journal ◽

10.2139/ssrn.1964248 ◽

2011 ◽

Author(s):

Ludovic Dubrana

Keyword(s):

Implied Volatility ◽

Jump Processes ◽

European Options ◽

Volatility Smile

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An Empirical Analysis of the Common Factors Governing US Dollar-LIBOR Implied Volatility Movements

SSRN Electronic Journal ◽

10.2139/ssrn.205768 ◽

2000 ◽

Author(s):

Pavan G. Wadhwa

Keyword(s):

Empirical Analysis ◽

Implied Volatility ◽

Common Factors ◽

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