THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES

Recommendations

An explicit implied volatility formula
A new formula for computing implied volatility
Implied volatility of basket options at extreme strikes
Asymptotic formulae for implied volatility in the Heston model
A Formula to Compute Implied Volatility, with Error Estimate
Implicit expectiles and measures of implied volatility
A note on computation of implied volatility
The total variation model for determining the implied volatility in option pricing
Implied volatility from the term structure: a simple analytical approximation

Cites work

A jump-diffusion model for option pricing
A Risk-Neutral Stochastic Volatility Model
scientific article; zbMATH DE number 1517499 (Why is no real title available?)
Mathematical methods for foreign exchange. A financial engineer's approach
Processes of normal inverse Gaussian type
The pricing of options and corporate liabilities

Cited in

(only showing first 100 items - show all)

Black-Scholes in a CEV random environment
Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models
Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX index
Arbitrage-free interpolation of call option prices
Testing and inference for fixed times of discontinuity in semimartingales
The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model
Heston model: the variance swap calibration
Local volatility dynamic models
A Black-Scholes inequality: applications and generalisations
Moment explosions in the rough Heston model
A martingale approach for fractional Brownian motions and related path dependent PDEs
Exponential moments of affine processes
A closed-form solution for outperformance options with stochastic correlation and stochastic volatility
Parametric modeling of implied smile functions: a generalized SVI model
Extreme-strike asymptotics for general Gaussian stochastic volatility models
Can the implied volatility surface move by parallel shifts?
Moment explosions in stochastic volatility models
On the density of log-spot in the Heston volatility model
A new look at short-term implied volatility in asset price models with jumps
Generalized arbitrage-free SVI volatility surfaces
General smile asymptotics with bounded maturity
Smooth and bid-offer compliant volatility surfaces under general dividend streams
Arbitrage-free SVI volatility surfaces
Asymptotic equivalence in Lee's moment formulas for the implied volatility, asset price models without moment explosions, and Piterbarg's conjecture
Extension of stochastic volatility equity models with the Hull-White interest rate process
Analytical formulas for a local volatility model with stochastic rates
The term structure of implied volatility in symmetric models with applications to Heston
Uniform bounds for Black-Scholes implied volatility
The impact of jump distributions on the implied volatility of variance
Functional analytic (ir-)regularity properties of SABR-type processes
Asymptotic formulae for implied volatility in the Heston model
Moment explosions and long-term behavior of affine stochastic volatility models
Smile modeling in commodity markets
IMPLIED VOLATILITY IN THE HULL-WHITE MODEL
Asymptotic behavior of distribution densities in models with stochastic volatility. I.
REGULAR VARIATION AND SMILE ASYMPTOTICS
Put-call symmetry: extensions and applications
Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions
Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa's pricing formula
Implied volatility of basket options at extreme strikes
Extrapolation analytics for Dupire's local volatility
Asymptotic expansion approach in finance
New approximations in local volatility models
Extreme-strike comparisons and structural bounds for SPX and VIX options
Local Volatility, Conditioned Diffusions, and Varadhan's Formula
INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS
Correction to Black-Scholes formula due to fractional stochastic volatility
Shapes of implied volatility with positive mass at zero
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
The survival probability of the SABR model: asymptotics and application
Implied volatility in strict local martingale models
Implied volatility of leveraged ETF options
Pitfalls of the Fourier transform method in affine models, and remedies
Small-maturity asymptotics for the at-the-money implied volatility slope in Lévy models
Asymptotics of implied volatility to arbitrary order
Implied and realized volatility: empirical model selection
Series expansion of the SABR joint density
Asymptotics for exponential Lévy processes and their volatility smile: survey and new results
The normalizing transformation of the implied volatility smile
A PDE method for estimation of implied volatility
Volatility has to be rough
Asymptotics of the time-discretized log-normal SABR model: the implied volatility surface
No arbitrage SVI
Risk neutral jump arrival rates implied in option prices and their models
Effective asymptotics analysis for finance
A comparison principle between rough and non-rough Heston models -- with applications to the volatility surface
Small-time smile for the multifactor volatility Heston model
Moment explosions and stationary distributions in affine diffusion models
MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX
Dynamics of the implied volatility surface. Theory and empirical evidence
Left-wing asymptotics of the implied volatility in the presence of atoms
Asymptotics of Forward Implied Volatility
Short-time implied volatility in exponential Lévy models
Explicit implied volatilities for multifactor local-stochastic volatility models
Convergence of Heston to SVI
On refined volatility smile expansion in the Heston model
From moment explosion to the asymptotic behavior of the cumulative distribution for a random variable
Smile Asymptotics II: Models with Known Moment Generating Functions
The randomized Heston model
Explosion time for some Laplace transforms of the Wishart process
Marginal density expansions for diffusions and stochastic volatility. II: Applications
Large-maturity regimes of the Heston forward smile
The Alpha‐Heston stochastic volatility model
Perturbation analysis of sub/super hedging problems
Pricing autocallables under local-stochastic volatility
CBI-time-changed Lévy processes
No arbitrage global parametrization for the eSSVI volatility surface
The log‐moment formula for implied volatility
Option pricing in sandwiched Volterra volatility model
Estimating option pricing models using a characteristic function-based linear state space representation
The asymptotic smile of a multiscaling stochastic volatility model
W-shaped implied volatility curves in a variance-gamma mixture model
A general moment formula
Explicit option pricing with additive processes
When are option prices \(\mathrm{TP}_2\)?
Asymptotic smiles for an affine jump-diffusion model
The implied volatility surface (also) is path-dependent
New solvable stochastic volatility models for pricing volatility derivatives
Small-time asymptotics for Gaussian self-similar stochastic volatility models
Stability analysis of Riccati differential equations related to affine diffusion processes

This page was built for publication: THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4673853)