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Equivalent Black volatilities

Citations

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Cited by:

  1. Jan Obloj, 2007. "Fine-tune your smile: Correction to Hagan et al," Papers 0708.0998, arXiv.org, revised Mar 2008.
  2. Emmanuel Gobet & Ali Suleiman, 2013. "New approximations in local volatility models," Post-Print hal-00523369, HAL.
  3. Choi, Jaehyuk & Wu, Lixin, 2021. "The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
  4. Chenxu Li, 2014. "Closed-Form Expansion, Conditional Expectation, and Option Valuation," Mathematics of Operations Research, INFORMS, vol. 39(2), pages 487-516, May.
  5. Wen Su, 2021. "Default Distances Based on the CEV-KMV Model," Papers 2107.10226, arXiv.org, revised May 2022.
  6. E. Benhamou & E. Gobet & M. Miri, 2009. "Smart expansion and fast calibration for jump diffusions," Finance and Stochastics, Springer, vol. 13(4), pages 563-589, September.
  7. Julien Hok & Philip Ngare & Antonis Papapantoleon, 2018. "Expansion formulas for European quanto options in a local volatility FX-LIBOR model," Papers 1801.01205, arXiv.org, revised Apr 2018.
  8. Alev{s} v{C}ern'y & Stephan Denkl & Jan Kallsen, 2013. "Hedging in L\'evy Models and the Time Step Equivalent of Jumps," Papers 1309.7833, arXiv.org, revised Jul 2017.
  9. 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.
  10. Jacquier, Antoine & Roome, Patrick, 2016. "Large-maturity regimes of the Heston forward smile," Stochastic Processes and their Applications, Elsevier, vol. 126(4), pages 1087-1123.
  11. Nawdha Thakoor & Désiré Yannick Tangman & Muddun Bhuruth, 2019. "A Spectral Approach to Pricing of Arbitrage-Free SABR Discrete Barrier Options," Computational Economics, Springer;Society for Computational Economics, vol. 54(3), pages 1085-1111, October.
  12. Decamps, Marc & De Schepper, Ann, 2010. "Edgeworth expansions of stochastic trading time," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(16), pages 3179-3192.
  13. Richard Jordan & Charles Tier, 2016. "Asymptotic Approximations For Pricing Derivatives Under Mean-Reverting Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(05), pages 1-31, August.
  14. Andrea Barletta & Elisa Nicolato & Stefano Pagliarani, 2019. "The short‐time behavior of VIX‐implied volatilities in a multifactor stochastic volatility framework," Mathematical Finance, Wiley Blackwell, vol. 29(3), pages 928-966, July.
  15. Xiu, Dacheng, 2014. "Hermite polynomial based expansion of European option prices," Journal of Econometrics, Elsevier, vol. 179(2), pages 158-177.
  16. Pagliarani, Stefano & Pascucci, Andrea, 2011. "Analytical approximation of the transition density in a local volatility model," MPRA Paper 31107, University Library of Munich, Germany.
  17. Julien Hok & Philip Ngare & Antonis Papapantoleon, 2018. "Expansion Formulas For European Quanto Options In A Local Volatility Fx-Libor Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-43, March.
  18. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "A family of density expansions for L\'evy-type processes," Papers 1312.7328, arXiv.org.
  19. Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
  20. Jaehyuk Choi & Chenru Liu & Byoung Ki Seo, 2019. "Hyperbolic normal stochastic volatility model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(2), pages 186-204, February.
  21. Anastasis Kratsios & Cody B. Hyndman, 2017. "Non-Euclidean Conditional Expectation and Filtering," Papers 1710.05829, arXiv.org, revised Sep 2018.
  22. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2017. "Explicit Implied Volatilities For Multifactor Local-Stochastic Volatility Models," Mathematical Finance, Wiley Blackwell, vol. 27(3), pages 926-960, July.
  23. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "Analytical expansions for parabolic equations," Papers 1312.3314, arXiv.org, revised Nov 2014.
  24. Max O. Souza & Jorge P. Zubelli, 2007. "On The Asymptotics Of Fast Mean-Reversion Stochastic Volatility Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(05), pages 817-835.
  25. Fabricio Tourrucoo & Patrick S. Hagan & Gilberto F. Schleiniger, 2007. "Approximate Formulas for Zero-coupon Bonds," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(3), pages 207-226.
  26. Romain Bompis & Emmanuel Gobet, 2012. "Asymptotic and non asymptotic approximations for option valuation," Post-Print hal-00720650, HAL.
  27. Giacomo Burro & Pier Giuseppe Giribone & Simone Ligato & Martina Mulas & Francesca Querci, 2017. "Negative interest rates effects on option pricing: Back to basics?," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-27, June.
  28. Zimmermann, Paul, 2021. "The role of the leverage effect in the price discovery process of credit markets," Journal of Economic Dynamics and Control, Elsevier, vol. 122(C).
  29. Dan Pirjol & Lingjiong Zhu, 2017. "Short Maturity Asian Options for the CEV Model," Papers 1702.03382, arXiv.org.
  30. Fannu Hu & Charles Knessl, 2010. "Asymptotics of Barrier Option Pricing Under the CEV Process," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(3), pages 261-300.
  31. Dan Stefanica & Radoš Radoičić, 2016. "A sharp approximation for ATM-forward option prices and implied volatilites," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-24, March.
  32. Stefano, Pagliarani & Pascucci, Andrea & Candia, Riga, 2011. "Expansion formulae for local Lévy models," MPRA Paper 34571, University Library of Munich, Germany.
  33. Viorel Costeanu & Dan Pirjol, 2011. "Asymptotic Expansion for the Normal Implied Volatility in Local Volatility Models," Papers 1105.3359, arXiv.org.
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