Option-implied information: What's the vol surface got to do with it?
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Publication:2211017
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A market model for stochastic implied volatility
- Arbitrage-free smoothing of the implied volatility surface
- scientific article; zbMATH DE number 735230 (Why is no real title available?)
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- Parametric modeling of implied smile functions: a generalized SVI model
- What is the expected return on the market?
Cited in
(6)- Asymmetric information about volatility: how does it affect implied volatility, option prices and market liquidity?
- S\&P 500 index option surface drivers and their risk neutral and real world quadratic covariations
- Implied volatility surface estimation via quantile regularization
- Mathematical model of reproduction system for dynamic multifactor production-consumption balances
- Implied volatility surfaces: a comprehensive analysis using half a billion option prices
- Neural Tangent Kernel in Implied Volatility Forecasting: A Nonlinear Functional Autoregression Approach
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