Maturity cycles in implied volatility

Citations

Cited by:

1. Aït-Sahalia, Yacine & Li, Chenxu & Li, Chen Xu, 2021. "Closed-form implied volatility surfaces for stochastic volatility models with jumps," Journal of Econometrics, Elsevier, vol. 222(1), pages 364-392.
2. Siddiqi, Hammad, 2014. "Analogy Making and the Structure of Implied Volatility Skew," MPRA Paper 60921, University Library of Munich, Germany.
3. Siddiqi, Hammad, 2013. "Analogy Making in Complete and incomplete Markets: A New Model for Pricing Contingent Claims," Risk and Sustainable Management Group Working Papers 160608, University of Queensland, School of Economics.
4. Michele Azzone & Roberto Baviera, 2024. "Short-time implied volatility of additive normal tempered stable processes," Annals of Operations Research, Springer, vol. 336(1), pages 93-126, May.
5. Giulia Di Nunno & Kęstutis Kubilius & Yuliya Mishura & Anton Yurchenko-Tytarenko, 2023. "From Constant to Rough: A Survey of Continuous Volatility Modeling," Mathematics, MDPI, vol. 11(19), pages 1-35, October.
6. Romain Bompis & Emmanuel Gobet, 2012. "Asymptotic and non asymptotic approximations for option valuation," Post-Print hal-00720650, HAL.
7. Elisa Alòs & Jorge A. León, 2013. "On the closed-form approximation of short-time random strike options," Economics Working Papers 1347, Department of Economics and Business, Universitat Pompeu Fabra.
8. Elisa Alòs & Jorge A. León & Josep Vives, 2006. "On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility," Economics Working Papers 968, Department of Economics and Business, Universitat Pompeu Fabra.
9. J.-P. Fouque & Y. F. Saporito, 2018. "Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options," Quantitative Finance, Taylor & Francis Journals, vol. 18(6), pages 1003-1016, June.
   • Jean-Pierre Fouque & Yuri F. Saporito, 2017. "Heston Stochastic Vol-of-Vol Model for Joint Calibration of VIX and S&P 500 Options," Papers 1706.00873, arXiv.org.
10. Siddiqi, Hammad, 2014. "Anchoring Heuristic in Option Prices," MPRA Paper 66018, University Library of Munich, Germany, revised 15 Jul 2015.
11. Carlos Fuertes & Andrew Papanicolaou, 2012. "Implied Filtering Densities on Volatility's Hidden State," Papers 1203.6631, arXiv.org, revised Mar 2017.
12. Siddiqi, Hammad, 2015. "Anchoring Heuristic in Option Pricing," Risk and Sustainable Management Group Working Papers 207677, University of Queensland, School of Economics.
13. Eduardo Abi Jaber & Shaun Xiaoyuan Li, 2025. "Volatility models in practice: Rough, Path-dependent or Markovian?," Post-Print hal-04372797, HAL.
14. Jean-Pierre Fouque & Yuri F. Saporito & Jorge P. Zubelli, 2013. "Multiscale Stochastic Volatility Model for Derivatives on Futures," Papers 1311.4249, arXiv.org.
15. Masaaki Fukasawa, 2011. "Asymptotic analysis for stochastic volatility: martingale expansion," Finance and Stochastics, Springer, vol. 15(4), pages 635-654, December.
16. Siddiqi, Hammad, "undated". "Analogy Making and the Puzzles of Index Option Returns and Implied Volatility Skew: Theory and Empirical Evidence," Risk and Sustainable Management Group Working Papers 177302, University of Queensland, School of Economics.
17. Eduardo Abi Jaber & Shaun & Li, 2024. "Volatility models in practice: Rough, Path-dependent or Markovian?," Papers 2401.03345, arXiv.org, revised Apr 2025.
18. Masaaki Fukasawa, 2015. "Short-time at-the-money skew and rough fractional volatility," Papers 1501.06980, arXiv.org.
19. Sukhomlin, Nikolay & Santana Jiménez, Lisette Josefina, 2010. "Problema de calibración de mercado y estructura implícita del modelo de bonos de Black-Cox = Market Calibration Problem and the Implied Structure of the Black-Cox Bond Model," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 10(1), pages 73-98, December.
20. Elisa Alòs & Jorge A. León, 2021. "An Intuitive Introduction to Fractional and Rough Volatilities," Mathematics, MDPI, vol. 9(9), pages 1-22, April.
21. Elisa Alòs & Jorge León & Josep Vives, 2007. "On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility," Finance and Stochastics, Springer, vol. 11(4), pages 571-589, October.
22. Siddiqi, Hammad, 2015. "Anchoring Heuristic in Option Pricing," MPRA Paper 63218, University Library of Munich, Germany.
23. Siddiqi, Hammad, 2014. "Analogy Making and the Structure of Implied Volatility Skew," Risk and Sustainable Management Group Working Papers 187407, University of Queensland, School of Economics.
24. Siddiqi, Hammad, 2013. "Analogy Making In Complete and Incomplete Markets: A New Model for Pricing Contingent Claims," Risk and Sustainable Management Group Working Papers 156934, University of Queensland, School of Economics.
25. Siddiqi, Hammad, 2015. "Anchoring and Adjustment Heuristic in Option Pricing," MPRA Paper 68595, University Library of Munich, Germany.
26. Kazuki Nagashima & Tsz-Kin Chung & Keiichi Tanaka, 2014. "Asymptotic Expansion Formula of Option Price Under Multifactor Heston Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(4), pages 351-396, November.