Improved Methods for Implied Volatility Surface and Implied Distributions.-Reference-Cited by-同舟云学术

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Improved Methods for Implied Volatility Surface and Implied Distributions.

Published:2020 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Lim Hyuncheul

Publisher

Elsevier BV

Reference24 articles.

1. Existence of an equilibrium for a competitive economy;K J Arrow;Econometrica,1954

2. The Pricing of Options and Corporate Liabilities;Fischer Black;The Journal of Political Economy,1973

3. Prices of state-contingent claims implicit in option prices;D T Breeden;Journal of Business,1978

4. Riding on a smile;E Derman;RISK,1994

5. Pricing with a simile;B Dupire;RISK,1994

Cited by 2 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. Robust and accurate construction of the local volatility surface using the Black–Scholes equation;Chaos, Solitons & Fractals;2021-09

2. Detecting and Repairing Arbitrage in Traded Option Prices;Applied Mathematical Finance;2020-09-02

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