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Option-implied term structures. (2016). Vogt, Erik.
In: Staff Reports.
RePEc:fip:fednsr:706.

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Citations received by this document

  1. Informed options trading on the implied volatility surface: A cross‐sectional approach. (2020). Kim, Dahea ; Park, Haehean.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:40:y:2020:i:5:p:776-803.

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  2. Option Prices in a Model with Stochastic Disaster Risk. (2019). Wachter, Jessica A ; Seo, Sang Byung.
    In: Management Science.
    RePEc:inm:ormnsc:v:65:y:2019:i:8:p:3449-3469.

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Cocites

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  2. Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis. (2007). Zerilli, Paola.
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  3. Random Dynamics and Finance: Constructing Implied Binomial Trees from a Predetermined Stationary Den. (2006). Mayoral, Silvia ; Morales, Manuel ; Bahsoun, Wael ; Gora, Pawel.
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  4. Option Pricing and the Implied Tail Index with the Generalized Extreme Value (GEV) Distribution. (2005). Markose, Sheri ; Alentorn, Amadeo.
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  5. Option pricing and spikes in volatility: theoretical and empirical analysis. (2005). Zerilli, Paola.
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  6. An empirical comparison of the performance of alternative option pricing models. (2005). Ferreira, Eva ; Leon, Angel ; Gago, Monica ; Rubio, Gonzalo.
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  7. A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics. (2005). Mammen, Enno ; Härdle, Wolfgang ; Fengler, Matthias ; Hardle, Wolfgang.
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  9. Can option smiles forecast changes in interest rates? An application to the US, the UK and the euro area. (2005). Pericoli, Marcello.
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  10. Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes. (2004). Wu, Liuren ; Huang, Jingzhi.
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  11. Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns. (2004). Wu, Liuren.
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  17. The Importance of the Loss Function in Option Valuation. (2003). Christoffersen, Peter ; Jacobs, Kris.
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  48. American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation. (1996). Ghysels, Eric ; Detemple, Jerome B. ; Torres, Olivier ; Broadie, Mark.
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