A PDE method for estimation of implied volatility

2019 ◽  
Vol 20 (3) ◽  
pp. 393-408 ◽  
Author(s):  
Ivan Matić ◽  
Radoš Radoičić ◽  
Dan Stefanica
Keyword(s):  
Implied Volatility ◽  
Pde Method

A PDE Method for Estimation of Implied Volatility

2018 ◽  
Author(s):  
Ivan Matic ◽  
Rados Radoicic ◽  
Dan Stefanica
Keyword(s):  
Implied Volatility ◽  
Pde Method

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

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

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

1994 ◽  
Author(s):  
Claus Anderskov Madsen
Keyword(s):  
Implied Volatility ◽  
Yield Curve

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

2010 ◽  
Author(s):  
Stefano De Marco ◽  
Claude Martini
Keyword(s):  
Term Structure ◽  
Implied Volatility

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

2010 ◽  
Author(s):  
Hammad Siddiqi
Keyword(s):  
Implied Volatility ◽  
Put Options
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