Option bounds and the pricing of the volatility smile

DOI10.1023/A:1009624428252MaRDI QIDQ375316zbMATH OpenFDO

Authors Jean Masson, Stylianos Perrakis

Publication date 29 October 2013

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

zbMATH Keywords

volatility smileincomplete marketsindex option pricing

Mathematics Subject Classification ID

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

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Cited in

(9)

• Determining volatility surfaces and option values from an implied volatility smile
• Tighter bounds for implied volatility
• 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
• On implied volatility for options -- some reasons to smile and more to correct
• A simple efficient approximation to price basket stock options with volatility smile
• A bias in the 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

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