A Market Model for Stochastic Implied Volatility-Reference-Cited by-同舟云学术

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A Market Model for Stochastic Implied Volatility

Published:1999 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Schönbucher Philipp J.

Publisher

Elsevier BV

Reference23 articles.

1. The pricing of commodity contracts;Fischer Black;Journal of Financial Economics,1976

2. The pricing of options and corporate liabilities;Fischer Black;Journal of Political Economy,1973

3. The market model of interest rate dynamics;Alan Brace;Mathematical Finance,1997

4. The information content of option prices and a test of market efficiency;P Donald;Journal of Financial Economics,1978

5. Riding on the smile;Emanuel Derman;Risk,1994

Cited by 21 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Deep Hedging: Learning Risk-Neutral Implied Volatility Dynamics;SSRN Electronic Journal;2021

2. Data-Driven Models & Mathematical Finance: Opposition or Apposition?;SSRN Electronic Journal;2019

3. Machine Learning Techniques for Deciphering Implied Volatility Surface Data in a Hostile Environment: Scenario Based Particle Filter, Risk Factor Decomposition & Arbitrage Constraint Sampling;SSRN Electronic Journal;2018

4. A Proposed Risk Modeling Shift from the Approach of Stochastic Differential Equation towards Machine Learning Clustering: Illustration with the Concepts of Anticipative & Responsible VaR;SSRN Electronic Journal;2017

5. Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging;SSRN Electronic Journal;2015

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