Coupling smiles

DOI10.1080/14697680701691444MaRDI QIDQ3539543zbMATH OpenOpenAlexFDO

Authors Valdo Durrleman, Nicole El Karoui

Publication date 18 November 2008

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680701691444

zbMATH Keywords

implied volatilitiesstochastic volatilityvolatility modellingvolatility surfaces

Mathematics Subject Classification ID

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Cites work

• Robustness of the Black and Scholes Formula

Cited in

(10)

• A note on the term structure of implied volatilities for the yen/U.S. Dollar currency option
• Option-implied volatility spillover indices for FX risk factors
• Implied betas for the Frankel-Wei regression framework
• Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities
• Local volatility dynamic models
• Equity correlations implied by index options: estimation and model uncertainty analysis
• Strike from volatility and delta-with-premium
• Dynamics of foreign exchange implied volatility and implied correlation surfaces
• Nonparametric estimation for stochastic volatility models
• Partial observability of implied volatility matrices: identification and covolatilities filtering

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