A PDE method for estimation of implied volatility (Q4991029): Difference between revisions

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+MaRDI publication profile
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+https://doi.org/10.1080/14697688.2019.1675898
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+W2907334833
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@@ Property / cites work @@
+Inverse problems in finance
@@ Property / cites work: Inverse problems in finance / rank @@
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+Computing the implied volatility in stochastic volatility models
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+The Pricing of Options and Corporate Liabilities
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+A bias in the volatility smile
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+Numerical Approximation of the Implied Volatility Under Arithmetic Brownian Motion
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+SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL
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+ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
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+TIGHTER BOUNDS FOR IMPLIED VOLATILITY
@@ Property / cites work: TIGHTER BOUNDS FOR IMPLIED VOLATILITY / rank @@
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+Can there be an explicit formula for implied volatility?
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+A theory of regularity structures
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+From characteristic functions to implied volatility expansions
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+Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models
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+THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
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+A new formula for computing implied volatility
@@ Property / cites work: A new formula for computing implied volatility / rank @@
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+Approximate inversion of the Black-Scholes formula using rational functions
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+An adaptive successive over-relaxation method for computing the Black–Scholes implied volatility
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+Parker-Sochacki method for solving systems of ordinary differential equations using graphics processors
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+A review on implied volatility calculation
@@ Property / cites work: A review on implied volatility calculation / rank @@
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+Q4677313
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+FAST COMPUTATION OF VANILLA PRICES IN TIME-CHANGED MODELS AND IMPLIED VOLATILITIES USING RATIONAL APPROXIMATIONS
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+Q2778805
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+A parametrized barycentric approximation for inverse problems with application to the Black–Scholes formula
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+HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES?
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+AN EXPLICIT IMPLIED VOLATILITY FORMULA
@@ Property / cites work: AN EXPLICIT IMPLIED VOLATILITY FORMULA / rank @@
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@@ Property / cites work @@
+Quantile mechanics
@@ Property / cites work: Quantile mechanics / rank @@
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+Uniform Bounds for Black--Scholes Implied Volatility
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@@ Property / Wikidata QID @@
+Q126806631
@@ Property / Wikidata QID: Q126806631 / rank @@
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