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A PDE method for estimation of implied volatility
Quantitative Finance
◽
10.1080/14697688.2019.1675898
◽
2019
◽
Vol 20
(3)
◽
pp. 393-408
◽
Cited By ~ 1
Author(s):
Ivan Matić
◽
Radoš Radoičić
◽
Dan Stefanica
Keyword(s):
Implied Volatility
◽
Pde Method
Download Full-text
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Cited By
References
A PDE Method for Estimation of Implied Volatility
SSRN Electronic Journal
◽
10.2139/ssrn.3264356
◽
2018
◽
Author(s):
Ivan Matic
◽
Rados Radoicic
◽
Dan Stefanica
Keyword(s):
Implied Volatility
◽
Pde Method
Download Full-text
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
◽
Cited By ~ 4
Author(s):
Jacqueline Huang
◽
Jong-Shi Pang
Keyword(s):
Mathematical Programming
◽
Implied Volatility
◽
American Options
◽
Equilibrium Constraints
◽
Implied Volatility Surface
◽
Volatility Surface
Download Full-text
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
◽
Cited By ~ 1
Author(s):
Mikhail Deryabin
Keyword(s):
Surface Reconstruction
◽
Implied Volatility
◽
Energy Markets
◽
Spot Price
◽
Implied Volatility Surface
◽
Volatility Surface
Download Full-text
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
◽
Cited By ~ 6
Author(s):
Matthew Lorig
◽
Stefano Pagliarani
◽
Andrea Pascucci
Keyword(s):
Stochastic Volatility
◽
Taylor Series
◽
Implied Volatility
◽
Stochastic Volatility Models
◽
Volatility Models
Download Full-text
Estimating the Yield-Curve - An Implied Volatility Approach (in Danish)
SSRN Electronic Journal
◽
10.2139/ssrn.1484940
◽
1994
◽
Cited By ~ 1
Author(s):
Claus Anderskov Madsen
Keyword(s):
Implied Volatility
◽
Yield Curve
Download Full-text
The Term Structure of Implied Volatility in Symmetric Models with Applications to Heston
SSRN Electronic Journal
◽
10.2139/ssrn.1622828
◽
2010
◽
Cited By ~ 2
Author(s):
Stefano De Marco
◽
Claude Martini
Keyword(s):
Term Structure
◽
Implied Volatility
Download Full-text
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
◽
Put Options
Download Full-text
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
Download Full-text
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
Download Full-text
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
◽
The Common
◽
Us Dollar
Download Full-text
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