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Implied Levy volatility

Author

Listed:
  • Jose Manuel Corcuera
  • Florence Guillaume
  • Peter Leoni
  • Wim Schoutens

Abstract

No abstract is available for this item.

Suggested Citation

  • Jose Manuel Corcuera & Florence Guillaume & Peter Leoni & Wim Schoutens, 2009. "Implied Levy volatility," Quantitative Finance, Taylor & Francis Journals, vol. 9(4), pages 383-393.
    • Handle: RePEc:taf:quantf:v:9:y:2009:i:4:p:383-393
    DOI: 10.1080/14697680902965548
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    Citations

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    Cited by:

    1. Albrecher, Hansjoerg & Guillaume, Florence & Schoutens, Wim, 2013. "Implied liquidity: Model sensitivity," Journal of Empirical Finance, Elsevier, vol. 23(C), pages 48-67.
    2. Bujar Huskaj & Marcus Nossman, 2013. "A Term Structure Model for VIX Futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(5), pages 421-442, May.
    3. Florence Guillaume & Gero Junike & Peter Leoni & Wim Schoutens, 2019. "Implied liquidity risk premia in option markets," Annals of Finance, Springer, vol. 15(2), pages 233-246, June.
    4. van Bilsen, Servaas & Linders, Daniël, 2019. "Affordable and adequate annuities with stable payouts: Fantasy or reality?," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 19-42.
    5. Dilip B. Madan & Sofie Reyners & Wim Schoutens, 2019. "Advanced model calibration on bitcoin options," Digital Finance, Springer, vol. 1(1), pages 117-137, November.
    6. Guillaume, F., 2015. "The LIX: A model-independent liquidity index," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 214-231.
    7. Peter Carr & Andrey Itkin & Sasha Stoikov, 2019. "A model-free backward and forward nonlinear PDEs for implied volatility," Papers 1907.07305, arXiv.org.

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