Option bounds and the pricing of the volatility smile

DOI10.1023/A:1009624428252zbMATH Open1274.91427MaRDI QIDQ375316FDOQ375316

Authors: Jean Masson, Stylianos Perrakis 

Publication date: 29 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

Recommendations

• scientific article; zbMATH DE number 1124633
• The implied volatility smirk
• On implied volatility for options -- some reasons to smile and more to correct
• scientific article; zbMATH DE number 1222810
• CALIBRATED OPTION BOUNDS

zbMATH Keywords

volatility smileincomplete marketsindex option pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cited In (6)

• Determining volatility surfaces and option values from an implied volatility smile
• THE BRITTEN-JONES AND NEUBERGER SMILE-CONSISTENT WITH STOCHASTIC VOLATILITY OPTION PRICING MODEL: A FURTHER ANALYSIS
• No-arbitrage bounds for the forward smile given marginals
• A simple efficient approximation to price basket stock options with volatility smile
• On the upper bound of a call option
• Smile from the past: a general option pricing framework with multiple volatility and leverage components

This page was built for publication: Option bounds and the pricing of the volatility smile

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q375316)