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From implied to spot volatilities

Author

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  • Valdo Durrleman

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Abstract

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Suggested Citation

  • Valdo Durrleman, 2010. "From implied to spot volatilities," Finance and Stochastics, Springer, vol. 14(2), pages 157-177, April.
  • Handle: RePEc:spr:finsto:v:14:y:2010:i:2:p:157-177
    DOI: 10.1007/s00780-009-0112-1
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    File URL: http://hdl.handle.net/10.1007/s00780-009-0112-1
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    References listed on IDEAS

    as
    1. Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-651, October.
    2. Valdo Durrleman & Nicole El Karoui, 2008. "Coupling smiles," Quantitative Finance, Taylor & Francis Journals, vol. 8(6), pages 573-590.
    3. H. Berestycki & J. Busca & I. Florent, 2002. "Asymptotics and calibration of local volatility models," Quantitative Finance, Taylor & Francis Journals, vol. 2(1), pages 61-69.
    4. Rubinstein, Mark, 1994. " Implied Binomial Trees," Journal of Finance, American Finance Association, vol. 49(3), pages 771-818, July.
    5. Mark Rubinstein., 1994. "Implied Binomial Trees," Research Program in Finance Working Papers RPF-232, University of California at Berkeley.
    6. Martin Schweizer & Johannes Wissel, 2008. "Arbitrage-free market models for option prices: the multi-strike case," Finance and Stochastics, Springer, vol. 12(4), pages 469-505, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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    Cited by:

    1. Romain Bompis, 2017. "Weak approximations for arithmetic means of geometric Brownian motions and applications to Basket options," Working Papers hal-01502886, HAL.
    2. repec:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0330-x is not listed on IDEAS
    3. Lingjiong Zhu, 2015. "Options with Extreme Strikes," Risks, MDPI, Open Access Journal, vol. 3(3), pages 1-16, July.
    4. Dan Pirjol & Lingjiong Zhu, 2016. "Short Maturity Asian Options in Local Volatility Models," Papers 1609.07559, arXiv.org.
    5. Cristian Homescu, 2011. "Implied Volatility Surface: Construction Methodologies and Characteristics," Papers 1107.1834, arXiv.org.
    6. Lingjiong Zhu, 2015. "Short maturity options for Azéma–Yor martingales," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 1-32, December.
    7. Stefan Gerhold & I. Cetin Gulum & Arpad Pinter, 2013. "Small-maturity asymptotics for the at-the-money implied volatility slope in L\'evy models," Papers 1310.3061, arXiv.org, revised May 2016.

    More about this item

    Keywords

    Option price; Implied volatility; Spot volatility; Martingale representation; Asymptotic analysis; Itô–Wentzell formula; 60H10; 91B28; C60; G13;

    JEL classification:

    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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